It is a well-known fact that actively managed mutual funds on average underperform passive benchmarks. In this paper, we use the stochastic dominance test proposed by Linton, Maasoumi, and Whang (2005) to shed new light on mutual fund performance on average and across styles. This test evaluates mutual fund performance using a non-parametric framework that 1) imposes a minimal set of conditions...

The purpose of this paper is to identify ex ante fund statistics that can be related to future performance of European equity funds. In an efficient market setting, actively managed portfolios cannot outperform a passive benchmark strategy. However, purely by chance, some funds outperform their benchmark ex post, making the identification of performance determinants a difficult task. To allevia...

By using a unique dataset of Finnish mutual funds and fund managers, we investigate whether manager ownership is related to fund performance. When we examine manager ownership measured as a percentage of the fund’s total assets, we find no relation between ownership and performance. This finding contradicts with US evidence. Further, when we employ ownership measured as a percentage of the mana...

A fund’s performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in ability and have the opportunity to take excessive risk. To match the benchmark, fund managers may increase the risk of their portfolio even if this decreases th...

This paper …nds that fund herding, de…ned as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor of mutual fund performance. Examining actively managed U.S. equity mutual funds over the period 1990-2009, we …nd that funds with a higher herding tendency achieve lower future returns. The performance gap between herding and antiherding funds is pe...

The relationship between net fund flow and performance of open-end funds was studied in this paper. The empirical tests on the performance and size of open-end funds in China show that the net fund flow of funds is positively correlated with pre-performance of funds, while the performance of funds is negatively correlated with the net fund flow of funds. These empirical studies imply that inves...

This paper investigates the dynamic relationship between the finite duration of the VC fund and the exploratory nature of innovation pursued by the portfolio ventures and whether the relationship is contingent on fund performance relative to its expected performance (reference point). The paper draws on the theoretical framework of exploration-exploitation and provides an illustrative two-arm b...

Despite the large body of research on closed-end fund discounts, the existing literature has surprisingly little to say about how the labor market for closed-end fund managers works and to what extent fund managers are disciplined by the fund’s internal governance system. At the same time, research on the relation between closedend fund discounts and managerial performance generally ignores the...

This paper proposes and tests a flow-based explanation for three important empirical findings on return predictability – the persistence of mutual fund performance, the “smart money” effect, and stock price momentum. Since mutual fund managers generally scale up or down their existing positions in response to investment flows, and since the portfolios of funds receiving capital generally differ...