Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue Journal of Banking and Finance Année : 2011

Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

A. Mounir
  • Fonction : Auteur
I. van de Woestyne
  • Fonction : Auteur

Résumé

There is a burgeoning literature using non-parametric frontier methods to measure mutual fund performance. These articles measure the relationship between the various characteristics (mainly return information and some costs of ownership) of these specialized financial products to establish a ranking using some efficiency measure. We argue in favor of the use of the shortage function, which is compatible with general investor preferences, and question some of the often maintained hypotheses in this line of research. The empirical part employs a large database of US and European mutual funds to offer extensive tests of the underlying modeling assumptions using various frontier estimators.

Dates et versions

halshs-00578239 , version 1 (18-03-2011)

Identifiants

Citer

K. Kerstens, A. Mounir, I. van de Woestyne. Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests. Journal of Banking and Finance, 2011, 35 (5), pp.1190-1201. ⟨10.1016/j.jbankfin.2010.09.030⟩. ⟨halshs-00578239⟩

Collections

CNRS
38 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More