Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

Pankaj K. Agarwal and H. K. Pradhan

Journal of Emerging Market Finance, 2018, vol. 17, issue 2_suppl, S157-S184

Abstract: 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).

Keywords: Mutual funds; performance; selectivity; market timing; unconditional; factor models (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:17:y:2018:i:2_suppl:p:s157-s184

DOI: 10.1177/0972652718777056

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