Performance of Mutual Funds: An International Perspective »

GREG N. GREGORIOU is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at State University of New York-Plattsburgh. He obtained his PhD (Finance) from the University of Quebec at Montreal and is the hedge fund editor for the peer-reviewed journal Derivatives Use, Trading and Regulation, published by Palgrave-MacMillan, based in the U.K. He has authored over 50 articles on hedge funds, and managed futures in various U.S. and U.K. peer-reviewed publications, including the Journal of Portfolio Management, Journal of Futures Markets, European Journal of Finance, Journal of Asset Management, European Journal of Operational Research, and Annals of Operations Research. Gregoriou has edited twelve books on hedge funds, funds of hedge funds, CTAs, IPOs, Corporate Governance and investment management.

Recently there has been a growing demand for mutual funds and how their performance compares to other funds on an international level. This significant new book focuses on the changes in some countries regarding the new paradigm of international investing through mutual funds. This is an indispensable collection of original papers on the mutual fund industry focusing on various European countries, the U.S. and New Zealand. Performance is assessed using a fresh approach, innovative techniques and various models. This book will allow the reader and practitioner to gain a perspective and understanding of mutual funds on an international level.

Acknowledgments     xi
Notes on the Contributors     xii
Introduction     xix
Returns and Fund Flows in Canadian Mutual Funds   Rajeeva Sinha   Vijay Jog     1
Introduction     1
Literature on performance and trading behavior of mutual funds     2
Methodology     3
Data     5
Empirical findings     6
Conclusion     14
References     15
New Zealand Equity Fund Performance Appraisal: A Non-parametric Approach   Dimitri Margaritis   Roger Otten   Alireza Tourani-Rad     17
Introduction     17
New Zealand mutual fund market     19
Sample     21
Methodology     21
Empirical findings     26
Conclusion     28
References     29
Danish Mutual Funds: Description, Costs, Performance, and a European Comparison   Ken L. Bechmann   Jesper Rangvid     31
Introduction     31
Size of the Danish mutual fund market     32
What is a typical "Danish mutual fund"?     37
Expenses and mutual fund investments     44
Costs and performance of Danishmutual funds relative to European funds     49
Costs and performance of Danish mutual funds     56
Conclusion     62
References     62
Performance Idiosyncrasy in the Italian Mutual Fund Industry   Roberto Savona     63
Introduction     63
The Italian mutual funds industry     65
The data     65
Conditional performance evaluation     70
Empirical results     71
Conclusion     82
References     83
Seasonality and Performance in Spanish Mutual Funds Management   Juan Carlos Matallin-Saez   David Moreno     85
Introduction     85
Performance and seasonality measurement     87
Database     89
Empirical results     92
Conclusion     104
References     106
On the Relationship Between Price and Quality in the US Mutual Fund Industry: Evidence from the 1992-2003 Period   Javier Gil-Bazo   Pablo Ruiz-Verdu     108
Introduction     108
Data     111
Results     117
Conclusion     124
References     125
Yaari's Dual Theory of Choice, Generalized Gini's Mean Differences, and Performance Evaluation of Mutual Funds   Wolfgang Breuer   Marc Gurtler     127
Introduction     127
The investor's portfolio selection problem     128
A dual measure of risk and (generalized) Gini's mean differences     136
Empirical example     142
Conclusion     146
References     150
Efficiency of US Mutual Funds Using Data Envelopment Analysis   Greg N. Gregoriou     152
Introduction     152
Literature review     154
Data     155
Methodology     156
Empirical results     159
Conclusion     166
References     166
Performance Persistence of Unit Funds: Evidence from a Small, Integrated Market   Valerio Poti   Eoghan Duffy     168
Introduction     168
Literature review     169
Methodology     171
Data     172
Results     173
Implications     180
Conclusion     180
References     181
What Is Behind the Financial Performance of Ethical Funds? A Study of the American Market   Radu Burlacu   Isabelle Girerd-Potin   Denis Dupre     183
Introduction     183
Literature review     185
Measuring ethical performance     186
Empirical methodology and data     187
Performance and management style     190
Ethical strength, investment style and performance     194
Ethical strength and management variables     201
Conclusion     204
References     208
The German Mutual Fund Market   Silke Ber   Alexander Kempf   Stefan Ruenzi     210
Introduction     210
Historical development     212
The fund market today     216
The legal framework     223
Governance and transparency rules     227
Forecast     228
Analysis of the Size Effect on Spanish Mutual Investment Funds   Jose L. Fernandez-Sanchez   Ladislao Luna     230
Introduction     230
The relationship between fund size and performance     231
Data and methodology     235
Analysis of results     238
Conclusion     245
References     246
Index     249