Longitudinal analysis of mutual fund performance

J.R. Ter Horst

Research output: ThesisDoctoral Thesis

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Abstract

Many different motivations for investing in mutual funds have been provided in the literature, including the claim that managers of mutual funds have special abilities that can be used to outperform the market. Testing of the validity of these claims is complicated by two facts. First, the expected returns on mutual funds show cross-sectional as well as time series variation. Second, mutual funds that did not do very well in the past tend to stop trading more often than other funds. The latter implies that an analysis of returns on mutual funds that are currently traded is possibly affected by so-called survivorship bias. The aim of this thesis is to use longitudinal econometric techniques to test the validity of some of the motivations for investing in mutual funds that have been given in the literature.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Verbeek, M.J.C.M., Co-promotor
  • Nijman, Theo, Promotor
Award date20 Nov 1998
Place of PublicationTilburg
Publisher
Print ISBNs9056680439
Publication statusPublished - 1998

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