Jenke ter Horst
| Date of Ph.D. defense: | November 20, 1998 |
| Title of thesis: | Longitudinal Analysis of Mutual Fund Performance |
| ISBN: | 90 5668 043 9 |
| Promotor: | Prof.dr. Theo Nijman |
Abstract:
Many different motivations for investing in mutual funds have been provided in the literature,
including the claim that managers of mutual funds have special abilities that can be used to
outperform the market. Testing of the validity of these claims is complicated by two facts.
First, the expected returns on mutual funds show cross-sectional as well as time series
variation. Second, mutual funds that did not do very well in the past tend to stop trading
more often than other funds. The latter implies that an analysis of returns on mutual funds
that are currently traded is possibly affected by so-called survivorship bias. The aim of this
thesis is to use longitudinal econometric techniques to test the validity of some of the
motivations for investing in mutual funds that have been given in the literature.
Global / English