Do bank-affiliated funds perform better than the others: the higher moment approach

Woraphon Wattanatorn and Sarayut Nathaphan

Asia-Pacific Journal of Accounting & Economics, 2022, vol. 29, issue 4, 1075-1089

Abstract: In this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical testing model to match the environment of the high-volatility and high-reward market – the emerging market. Specifically, we introduce co-skewness as an additional important risk factor in this study. Therefore, our model specification matches the non-normality of return distribution in the market. Furthermore, according to the information advantage hypothesis, we provide evidence of the superior market timing ability of the high-performance bank-related fund.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:raaexx:v:29:y:2022:i:4:p:1075-1089

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DOI: 10.1080/16081625.2019.1658528

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Asia-Pacific Journal of Accounting & Economics is currently edited by Yin-Wong Cheung, Hong Hwang, Jeong-Bon Kim, Shu-Hsing Li and Suresh Radhakrishnan

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