Alpha: Empirical Evidence of Mutual Fund Performance under Different Economic Cycles and over Fund Objectives

38 Pages Posted: 27 Aug 2011

See all articles by Giovanni Fernandez

Giovanni Fernandez

Florida International University (FIU) - Department of Finance

Chaiyuth Padungsaksawasdi

Thammasat Business School

Arun J. Prakash

Florida International University (FIU) - Department of Finance; Florida International University

Date Written: August 25, 2011

Abstract

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect the mutual fund performance especially over the bear periods. However, the results from different fund objectives are inconclusive, implying that abnormal returns are not objective-specific. Moreover, meta analysis shows that the abnormal returns are statistically significantly different across deciles and models, meaning that each decile and model yields different abnormal returns.

Suggested Citation

Fernandez, Giovanni and Padungsaksawasdi, Chaiyuth and Prakash, Arun Jai, Alpha: Empirical Evidence of Mutual Fund Performance under Different Economic Cycles and over Fund Objectives (August 25, 2011). Available at SSRN: https://ssrn.com/abstract=1917075 or http://dx.doi.org/10.2139/ssrn.1917075

Giovanni Fernandez (Contact Author)

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Chaiyuth Padungsaksawasdi

Thammasat Business School ( email )

2 Prachan Road
Pranakorn
Bangkok, Bangkok 10200
Thailand

Arun Jai Prakash

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Florida International University ( email )

Miami, FL 33199
United States

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