A Note on Performance Evaluation of New Zealand Mutual Funds
This paper reports on the performance of the New Zealand unit trusts over 11 years using the Fama-French three-factor model and the Cahart (1997) unconditional asset pricing test. The results reveal that the funds had negative Jensen’s alphas and thus poor performance. The conditional model shows...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2006-01-01
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| Series: | The International Journal of Banking and Finance |
| Subjects: | |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8354 |
| _version_ | 1828069264062414848 |
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| author | Puspakaran Kesayan Nuttawat Visaltanachoti Tammy Tao Lin |
| author_facet | Puspakaran Kesayan Nuttawat Visaltanachoti Tammy Tao Lin |
| author_sort | Puspakaran Kesayan |
| collection | DOAJ |
| description | This paper reports on the performance of the New Zealand unit trusts over 11 years using the Fama-French three-factor model and the Cahart (1997) unconditional asset pricing test. The results reveal that the funds had negative Jensen’s alphas and thus poor performance. The conditional model shows that funds underperformed the benchmark by 0.34 percent per month. These findings suggest that the funds had poor performance during the tested period. It is puzzling to observe a substantial growth of unit trusts in the same time period despite poor performance of these funds. It is very likely that the fund growth has more to do with regulatory effect of promoting savings than the effect of funds providing above-normal return for the growth of the market.
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| first_indexed | 2024-04-11T00:15:24Z |
| format | Article |
| id | doaj.art-75b4073d5df844d9a8303c1647632b74 |
| institution | Directory Open Access Journal |
| issn | 2811-3799 2590-423X |
| language | English |
| last_indexed | 2024-04-11T00:15:24Z |
| publishDate | 2006-01-01 |
| publisher | Universiti Utara Malaysia |
| record_format | Article |
| series | The International Journal of Banking and Finance |
| spelling | doaj.art-75b4073d5df844d9a8303c1647632b742023-01-09T03:08:49ZengUniversiti Utara MalaysiaThe International Journal of Banking and Finance2811-37992590-423X2006-01-013A Note on Performance Evaluation of New Zealand Mutual FundsPuspakaran Kesayan0Nuttawat Visaltanachoti1Tammy Tao Lin2Universiti Utara MalaysiaUniversiti Utara MalaysiaMassey University, New ZealandThis paper reports on the performance of the New Zealand unit trusts over 11 years using the Fama-French three-factor model and the Cahart (1997) unconditional asset pricing test. The results reveal that the funds had negative Jensen’s alphas and thus poor performance. The conditional model shows that funds underperformed the benchmark by 0.34 percent per month. These findings suggest that the funds had poor performance during the tested period. It is puzzling to observe a substantial growth of unit trusts in the same time period despite poor performance of these funds. It is very likely that the fund growth has more to do with regulatory effect of promoting savings than the effect of funds providing above-normal return for the growth of the market. https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8354Unit trustsNew Zealandfund performancealpha |
| spellingShingle | Puspakaran Kesayan Nuttawat Visaltanachoti Tammy Tao Lin A Note on Performance Evaluation of New Zealand Mutual Funds The International Journal of Banking and Finance Unit trusts New Zealand fund performance alpha |
| title | A Note on Performance Evaluation of New Zealand Mutual Funds |
| title_full | A Note on Performance Evaluation of New Zealand Mutual Funds |
| title_fullStr | A Note on Performance Evaluation of New Zealand Mutual Funds |
| title_full_unstemmed | A Note on Performance Evaluation of New Zealand Mutual Funds |
| title_short | A Note on Performance Evaluation of New Zealand Mutual Funds |
| title_sort | note on performance evaluation of new zealand mutual funds |
| topic | Unit trusts New Zealand fund performance alpha |
| url | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8354 |
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