Mutual fund performance evaluation and best clienteles

Auteur(s): Chrétien, StéphaneKammoun, Manel
Résumé: This 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.
Type de document: Article de recherche
Date de la mise en libre accès: 5 mai 2017
Version du document: AM
Lien permanent: http://hdl.handle.net/20.500.11794/13927
Ce document a été publié dans: Journal of financial and quantitative analysis, (2015)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2704031
Cambridge University Press
Collection :Articles publiés dans des revues avec comité de lecture

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