NDLI: Mutual Fund Performance Evaluation and Best Clienteles

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Mutual Fund Performance Evaluation and Best Clienteles

Content Provider	Scilit
Author	Chrétien, Stéphane Kammoun, Manel
Copyright Year	2017
Description	This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price (LOP) and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/FBB86A14ED90C40E810B5393E07BA829/S002210901700045Xa.pdf/div-class-title-mutual-fund-performance-evaluation-and-best-clienteles-div.pdf
Ending Page	1604
Page Count	28
Starting Page	1577
ISSN	00221090
e-ISSN	17566916
DOI	10.1017/s002210901700045x
Journal	Journal of Financial and Quantitative Analysis
Issue Number	4
Volume Number	52
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2017-08-01
Access Restriction	Open
Subject Keyword	Journal of Financial and Quantitative Analysis Investor Disagreement Mutual Funds
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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