ITEM METADATA RECORD
Title: Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests
Authors: Kerstens, Kristiaan ×
Mounir, Amine
Van de Woestyne, Ignace #
Issue Date: 2011
Series Title: Journal of Banking & Finance vol:35 issue:5 pages:1190-1201
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.
ISSN: 0378-4266
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Faculty of Economics and Business (FEB) - miscellaneous
Research Centre for Mathematical Economics, Econometrics and Statistics, Campus Brussels (-)
× corresponding author
# (joint) last author

Files in This Item:

There are no files associated with this item.

Request a copy

 




All items in Lirias are protected by copyright, with all rights reserved.

© Web of science