Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India
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GANGOPADHYAY, SHUBHASIS JOURNAL OF EMERGING MARKET FINANCESummary: In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).
| Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
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Journal Article
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Main Library | Vol 17, No 2S/ 5559444JA1 (Browse shelf(Opens below)) | Available | 5559444JA1 | |||||
Journals and Periodicals
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Main Library On Display | JOURNAL/FIN/Vol 17, No 2S/5559444 (Browse shelf(Opens below)) | Vol 17, No 2S (09/10/2018) | Not for loan | August, 2018 | 5559444 |
In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).
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