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Persistence & Survivorship Bias in Mutual Funds: An Indian Experience

Autor Manju Punia Chopra
en Limba Engleză Paperback – 29 feb 2012
This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
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Specificații

ISBN-13: 9783847347828
ISBN-10: 3847347829
Pagini: 88
Dimensiuni: 152 x 229 x 5 mm
Greutate: 0.14 kg
Editura: LAP LAMBERT ACADEMIC PUBLISHING AG & CO KG
Colecția LAP Lambert Academic Publishing

Notă biografică

Ms. Manju Punia Chopra is an MBA and MPhil in finance. Currently she is associated with Jyoti Nivas College, Bangalore as an assistant professor. Her areas of interest are capital markets and mutual funds. She has attended various national and international conferences, and has authored various research articles published in journals of repute.