Title :
Performance appraisal of international equity mutual funds
Author :
Ayadi, Mohamed A. ; Jedidi, Helmi ; Kryzanowski, Lawrence
Author_Institution :
Dept. of Finance, Oper., & Inf. Syst., Brock Univ., St. Catharines, ON, Canada
Abstract :
This study provides a comprehensive empirical analysis of the performance of a large sample of 1,471 Canadian international equity mutual funds over the period 1988-2008. We find that the performance statistics are sensitive to the selected benchmark model and conditional specification. Fund selectivity underperformance is partially explained by higher expenses. Bootstrap tests reveal a substantial number of significantly skilled funds in the right tail of the cross-sectional distribution.
Keywords :
finance; statistical analysis; Canadian international equity mutual funds; bootstrap tests; performance statistics; Benchmark testing; Indexes; Instruments; Investment; Mutual funds; Portfolios; Security; Performance measurement; bootstrap; conditioning; international and global funds;
Conference_Titel :
Web Applications and Networking (WSWAN), 2015 2nd World Symposium on
Conference_Location :
Sousse
Print_ISBN :
978-1-4799-8171-7
DOI :
10.1109/WSWAN.2015.7210311
