Informace o publikaci
Persistence of mutual fund performance in countries with emerging economies: Evidence from the Central and Eastern Europe
| Autoři | |
|---|---|
| Rok publikování | 2016 |
| Druh | Článek ve sborníku |
| Konference | SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume III |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Řízení, správa a administrativa |
| Klíčová slova | equity mutual funds; relative risk-adjusted return; persistence; CEE |
| Popis | The fundamental principle of classical portfolio theory states that mature capital markets are nearly efficient thus offering no extra returns and low possibilities for portfolio diversification. Thus it is not surprising that in the recent twenty years mutual funds from emerging economies with their high growth rates and less than perfect positive correlation with developed economies have been attracting an increasing volume of international capital flows. In this context investigation of emerging markets funds ability to beat the market represents considerable interest for both practitioners and academicians. Here it is necessary to point out two important features of the existing studies: the one feature is that they provide quite mixed results - on average, local equity funds do not generate abnormal returns, but they still exist; and the other feature is that such evidence is structured predominantly upon US-domiciled mutual funds investing into emerging economies, thus it is questionable whether the performance of domestic funds domiciled directly in emerging economies follows the same pattern as the performance of their counterparts from developed economies. Thus in light of stated above we aim to investigate the performance persistence of domestic equity funds from the Central and Eastern Europe by means of Carhart alpha and ARIMA model using data on monthly returns of domestic equity funds gathered from Bloomberg for the period from 2000 till 2015. As an attempt to extend the existing evidence this paper contributes in two ways: (1) it investigates the persistence of under- or overperformance of domestic funds from CEE in short-term and long-term periods; and (2) it allows to perform their international comparison with existing evidence from other groups of economies in the world. |
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