Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

Kerstens, Kristiaan; Mounir, A.; van de Woestyne, I.

Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

Kristiaan Kerstens, A. Mounir and I. van de Woestyne

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.

Keywords: Shortage; function; Mutual; funds; Mean–Variance; model; Higher-order; moments; Data; envelopment; analysis; Free; disposal; hull (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (29)

Published in Journal of Banking and Finance, 2011, 35 (5), pp.1190-1201. ⟨10.1016/j.jbankfin.2010.09.030⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00578239

DOI: 10.1016/j.jbankfin.2010.09.030

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