Scandinavian Working Papers in Business Administration
Finance Research Group Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No F-2005-01: Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence.
Michael Christensen ()
Additional contact information
Michael Christensen: Department of Accounting, Aarhus School of Business, Postal: The Aarhus School of Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Abstract: Funds under management by Danish mutual funds have increased by 25% annually during the last 10 years and measured per capita Denmark has the third largest mutual fund industry in Europe. This paper provides the first independent performance analysis of Danish mutual funds. We analyse selectivity applying a single index model and a multi-factor model, respectively. Furthermore, we analyse the timing ability of the Danish mutual funds pursuing both the quadratic regressions of Treynor and Mazuy (1966) and the option approach suggested by Henriksson and Merton (1981). Finally, we analyse performance persistence using parametric as well as non-parametric methodologies. We conclude that in general Danish mutual funds perform neutrally, returns are non-persistent and Danish mutual funds have no timing ability.
Keywords: Mutual funds; Performance evaluation; Market timing; Performance persistence
39 pages, September 23, 2005
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F_2005_01.pdf
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