TY - JOUR
T1 - New Zealand mutual funds: measuring performance and persistence in performance
AU - Bauer, R.M.M.J.
AU - Otten, R.R.A.E.
AU - Tourani Rad, A.
PY - 2006/1/1
Y1 - 2006/1/1
N2 - The present study investigates the performance of new zealand mutual funds using a survivorship-bias controlled sample of 143 funds for the period of 1990–2003. Our overall results suggest that new zealand mutual funds have not been able to provide out-performance. Alphas for equity funds, both domestic and international, are insignificantly different from zero, whereas balanced funds underperform significantly. There is no evidence of timing abilities by the fund managers. In the short term, significant evidence of return persistence for all funds is observed. This persistence, however, is driven by ‘icy hands’ rather than ‘hot hands’. Finally, we find the risk-adjusted performance for equity funds to be positively related to fund size and expense ratio and negatively related to load charges.
AB - The present study investigates the performance of new zealand mutual funds using a survivorship-bias controlled sample of 143 funds for the period of 1990–2003. Our overall results suggest that new zealand mutual funds have not been able to provide out-performance. Alphas for equity funds, both domestic and international, are insignificantly different from zero, whereas balanced funds underperform significantly. There is no evidence of timing abilities by the fund managers. In the short term, significant evidence of return persistence for all funds is observed. This persistence, however, is driven by ‘icy hands’ rather than ‘hot hands’. Finally, we find the risk-adjusted performance for equity funds to be positively related to fund size and expense ratio and negatively related to load charges.
U2 - 10.1111/j.1467-629X.2006.00171.x
DO - 10.1111/j.1467-629X.2006.00171.x
M3 - Article
SN - 0810-5391
VL - 46
SP - 347
EP - 363
JO - Accounting and Finance
JF - Accounting and Finance
IS - 3
ER -