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Performance of Mutual Funds - An International Perspective.rar
Edited by GREG N.GREGORIOU
First published 2007 by
PALGRAVE MACMILLAN
279 pages
ISBN-13:978-0-230-01914-0
ISBN-10:0-230-01914-5
Acknowledgments xi
Notes on the Contributors xii
Introduction xix
1 Returns and Fund Flows in Canadian Mutual
Funds 1
Rajeeva Sinha and Vijay Jog
1.1 Introduction 1
1.2 Literature on performance and trading behavior
of mutual funds 2
1.3 Methodology 3
1.4 Data 5
1.5 Empirical findings 6
1.6 Conclusion 14
References 15
2 New Zealand Equity Fund Performance Appraisal:
A Non-parametric Approach 17
Dimitri Margaritis,Roger Otten and Alireza Tourani-Rad
2.1 Introduction 17
2.2 New Zealand mutual fund market 19
2.3 Sample 21
2.4 Methodology 21
2.5 Empirical findings 26
2.6 Conclusion 28
References 29
Contents
vii3 Danish Mutual Funds:Description,Costs,Performance,
and a European Comparison 31
Ken L.Bechmann and Jesper Rangvid
3.1 Introduction 31
3.2 Size of the Danish mutual fund market 32
3.3 What is a typical“Danish mutual fund”?37
3.4 Expenses and mutual fund investments 44
3.5 Costs and performance of Danish mutual funds
relative to European funds 49
3.6 Costs and performance of Danish mutual funds 56
3.7 Conclusion 62
References 62
4 Performance Idiosyncrasy in the Italian Mutual
Fund Industry 63
Roberto Savona
4.1 Introduction 63
4.2 The Italian mutual funds industry 65
4.3 The data 65
4.4 Conditional performance evaluation 70
4.5 Empirical results 71
4.6 Conclusion 82
References 83
5 Seasonality and Performance in Spanish Mutual Funds
Management 85
Juan Carlos Matallín-Sáez and David Moreno
5.1 Introduction 85
5.2 Performance and seasonality measurement 87
5.3 Database 89
5.4 Empirical results 92
5.5 Conclusion 104
References 106
6 On the Relationship Between Price and Quality in the US
Mutual Fund Industry:Evidence from the 1992–2003 Period 108
Javier Gil-Bazo and Pablo Ruiz-Verdú
6.1 Introduction 108
6.2 Data 111
6.3 Results 117
6.4 Conclusion 124
References 125
viiiC O N T E N T S7 Yaari’s Dual Theory of Choice,Generalized
Gini’s Mean Differences,and Performance
Evaluation of Mutual Funds 127
Wolfgang Breuer and Marc Gürtler
7.1 Introduction 127
7.2 The investor’s portfolio selection problem 128
7.3 A dual measure of risk and(generalized)Gini’s mean
differences 136
7.4 Empirical example 142
7.5 Conclusion 146
References 150
8 Efficiency of US Mutual Funds Using Data
Envelopment Analysis 152
Greg N.Gregoriou
8.1 Introduction 152
8.2 Literature review 154
8.3 Data 155
8.4 Methodology 156
8.5 Empirical results 159
8.6 Conclusion 166
References 166
9 Performance Persistence of Unit Funds:Evidence
from a Small,Integrated Market 168
Valerio Potíand Eoghan Duffy
9.1 Introduction 168
9.2 Literature review 169
9.3 Methodology 171
9.4 Data 172
9.5 Results 173
9.6 Implications 180
9.7 Conclusion 180
References 181
10 What Is Behind the Financial Performance of
Ethical Funds?A Study of the American Market 183
Radu Burlacu,Isabelle Girerd-Potin and Denis Dupré
10.1 Introduction 183
10.2 Literature review 185
10.3 Measuring ethical performance 186
10.4 Empirical methodology and data 187
C O N T E N T S ix10.5 Performance and management style 190
10.6 Ethical strength,investment style and performance 194
10.7 Ethical strength and management variables 201
10.8 Conclusion 204
References 208
11 The German Mutual Fund Market 210
Silke Ber,Alexander Kempf and Stefan Ruenzi
11.1 Introduction 210
11.2 Historical development 212
11.3 The fund market today 216
11.4 The legal framework 223
11.5 Governance and transparency rules 227
11.6 Forecast 228
12 Analysis of the Size Effect on Spanish Mutual
Investment Funds 230
JoséL.Fernández-Sánchez and Ladislao Luna
12.1 Introduction 230
12.2 The relationship between fund size and performance 231
12.3 Data and methodology 235
12.4 Analysis of results 238
12.5 Conclusion 245
References 246
Index 249
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