Journalartikel

Jahr der Veröffentlichung: 2009

Seiten: 287-316

Zeitschrift: European Journal of Finance

Bandnummer: 15

Heftnummer: 3

ISSN: 1351-847X

eISSN: 1466-4364

DOI Link: https://doi.org/10.1080/13518470802423445

Verlag: Taylor and Francis Group

Abstract: 
We investigate the conditional performance of a sample of German equity mutual funds over the period from 1994 to 2003 using both the beta-pricing approach and the stochastic discount factor (SDF) framework. On average, mutual funds cannot generate excess returns relative to their benchmark that are large enough to cover their total expenses. Compared to unconditional alphas, fund performance sharply deteriorates when we measure conditional alphas. Given that stock returns are to some extent predictable based on publicly available information, conditional performance evaluation raises the benchmark for active fund managers because it gives them no credit for exploiting readily available information. Underperformance is more pronounced in the SDF framework than in beta-pricing models. The fund performance measures derived from alternative model specifications differ depending on the number of primitive assets taken to calibrate the SDF as well as the number of instrument variables used to scale assets and/or factors.

Harvard-Zitierstil: Bessler, W., Drobetz, W. and Zimmermann, H. (2009) Conditional performance evaluation for German equity mutual funds, European Journal of Finance, 15(3), Article PII 904593616. pp. 287-316. https://doi.org/10.1080/13518470802423445

APA-Zitierstil: Bessler, W., Drobetz, W., & Zimmermann, H. (2009). Conditional performance evaluation for German equity mutual funds. European Journal of Finance. 15(3), Article PII 904593616, 287-316. https://doi.org/10.1080/13518470802423445