Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests

Kristiaan Kerstens, Amine Mounir () and Ignace Van de Woestyne ()
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Amine Mounir: Hogeschool-Universiteit Brussel (HUB), Belgium
Ignace Van de Woestyne: Hogeschool-Universiteit Brussel (HUB), Belgium

No 2010/10, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

Abstract: There is a burgeoning literature using non-parametric frontier methods to measure mutual fund performance. These articles measure the relationship between the various characteristics (mainly return information and some costs of ownership) of these specialized financial products to establish a ranking using some efficiency measure. We argue in favor of the use of the shortage function, which is compatible with general investor preferences, and question some of the often maintained hypotheses in this line of research. The empirical part employs a large database of US and European mutual funds to offer extensive tests of the underlying modeling assumptions using various frontier estimators.

Keywords: Shortage function; Mutual Funds; Mean-Variance model; Higher-order moments; Data Envelopment Analysis; Free Disposal Hull (search for similar items in EconPapers)
Pages: 30 page
Date: 2010-03
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Related works:
Journal Article: Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests (2011)
Working Paper: Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests (2011)
Working Paper: Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests (2010)
Working Paper: Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests (2010)
Working Paper: Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests (2010)
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