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Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility

Vrontos, ID and Meligkotsidou, L and Vrontos, SD (2011) 'Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility.' Journal of Asset Management, 12 (4). 292 - 307. ISSN 1470-8272

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Abstract

Extending previous work on mutual fund pricing, this article introduces the idea of modeling the conditional distribution of mutual fund returns using a fat tailed density and a time-varying conditional variance. This approach takes into account the stylized facts of mutual fund return series, that is heteroscedasticity and deviations from normality. We evaluate mutual fund performance using multifactor asset pricing models, with the relevant risk factors being identified through standard model selection techniques. We explore potential impacts of our approach by analyzing individual mutual funds and show that it can be economically important. © 2011 Macmillan Publishers Ltd.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Jim Jamieson
Date Deposited: 04 Jul 2013 15:03
Last Modified: 30 Jan 2019 16:17
URI: http://repository.essex.ac.uk/id/eprint/11545

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