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dc.contributor.authorSingh, Anterpreet
dc.date.accessioned2014-07-23T18:23:52Z
dc.date.available2014-07-23T18:23:52Z
dc.date.issued2014-07-23
dc.identifier.urihttp://hdl.handle.net/10464/5517
dc.description.abstractEmerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectBootstrap Methodologyen_US
dc.subjectEmerging Marketsen_US
dc.subjectEquity Fundsen_US
dc.subjectFixed Income Fundsen_US
dc.subjectMutual Fundsen_US
dc.titleASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADAen_US
dc.typeElectronic Thesis or Dissertationen
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
dc.embargo.termsNoneen_US
refterms.dateFOA2021-07-31T02:00:12Z


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