Mutual fund performance evaluation and best clienteles

DC FieldValueLanguage
dc.contributor.authorChrétien, Stéphane-
dc.contributor.authorKammoun, Manel-
dc.date.accessioned2017-05-05T19:23:58Z-
dc.date.available2017-05-05T19:23:58Z-
dc.identifier.issn0022-1090fr
dc.identifier.urihttp://hdl.handle.net/20.500.11794/13927-
dc.description.abstractThis paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles.fr
dc.languageengfr
dc.publisherCambridge University Pressfr
dc.subjectPortfolio Performance Measurementfr
dc.subjectClientelefr
dc.subjectInvestor Disagreementfr
dc.subjectNo-Good-Deal Boundfr
dc.titleMutual fund performance evaluation and best clientelesfr
dc.typeCOAR1_1::Texte::Périodique::Revue::Contribution à un journal::Article::Article de recherchefr
dcterms.bibliographicCitationJournal of financial and quantitative analysis, (2015)fr
dc.audienceProfesseurs (Enseignement supérieur)fr
dc.audienceÉtudiantsfr
dc.audienceDoctorantsfr
dc.audienceInvestisseursfr
dc.subject.rvmFonds communs de placementfr
dc.subject.rvmClientèlefr
dc.subject.rvmInvestisseursfr
dcterms.date.accepted2015-11-30-
rioxxterms.versionAccepted Manuscriptfr
rioxxterms.version_of_recordhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2704031fr
rioxxterms.project.funder_nameChaire Groupe Investors en planification financièrefr
rioxxterms.project.funder_nameInstitut de finance mathématique de Montréalfr
bul.rights.periodeEmbargo0 moisfr
dc.audience.peerreviewOuifr
Collection:Articles publiés dans des revues avec comité de lecture

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