Mutual Fund Performance and Private Information
22 Pages Posted: 22 Jun 2016 Last revised: 24 Aug 2017
Date Written: June 19, 2016
This paper examines the use of private information by mutual funds with unconditional and conditional performance models. Using daily data for 35 countries over the 1990-2015 period, we find evidence that the use of conditioning information provides a more accurate estimation of fund performance. The use of conditioning information in mutual fund performance measurement is both statistically and economically significant. We show that unconditional alphas and betas are slightly smaller than the average conditional estimates. However, we do not find a robust evidence of private information in mutual fund performance.
Keywords: mutual fund; performance measurement; private information; conditional performance
JEL Classification: G11, G12
Suggested Citation: Suggested Citation