Do mutual fund managers manipulate?

Qian, Meifen; Bin, Yu

doi:10.1080/13504851.2014.993124

Cited by 5 publications

(7 citation statements)

References 10 publications

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“…Neither the MPPM nor the current measures indicate that, on average, the equity mutual funds significantly outperform the market. The similarity of the results between the MPPM and the current measures also indicate that there is no performance manipulation in the equity mutual funds and this is contrary to the findings of Qian and Yu (2015).…”

Section: Resultscontrasting

confidence: 65%

“…Qian and Yu (2015) presented evidence of manipulation in US equity mutual funds based on the MPPM for the first time. They further identified the characteristics of the manipulated funds.…”

Section: Literature Reviewmentioning

confidence: 99%

“…They also showed that the degree of manipulation in the real estate investment trusts varied from sector to sector and was positively correlated to the level of competition in each sector. Qian and Yu (2015) presented evidence of manipulation in US equity mutual funds based on the MPPM for the first time. They further identified the characteristics of the manipulated funds.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Thus, it may seem that the mutual funds can be precluded from manipulating the performance. However, Qian and Yu (2015) for the first time documented evidence of performance manipulation in US equity mutual funds using the MPPM. Iranian mutual funds have recently been developed; the first of them, Karafarin, started in July 2007 [1].…”

Section: Introductionmentioning

confidence: 99%

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Manipulation and performance persistence: an examination of Iranian equity mutual fund performance

Hosseini

Valahzaghard

Saeedi

2021

IMEFM

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Purpose This paper aims to study manipulation and performance persistence in equity mutual funds. To this end, Manipulation-Proof Performance Measure (MPPM) and Doubt Ratio, along with a number of current performance measures are used to evaluate the performance of equity mutual funds in Iran. Design/methodology/approach The authors investigate performance manipulation by 1) comparing the results of the MPPM with the current performance measures, 2) checking the Doubt Ratio to detect suspicious funds. Additionally, the authors investigate performance persistence by forming and evaluating portfolios of the equity mutual funds at several time horizons. Findings The authors conclude that there is no evidence of performance manipulation in the equity mutual funds. Additionally, when comparing the performance of the upper (top) tertile portfolios and the lower tertile portfolios, in all of the studied 1, 3, 6 and 12-month horizons, the authors find performance persistence in the equity mutual funds. Originality/value To the best of the authors’ knowledge, this research is the first study to investigate the performance manipulation in the Iranian equity mutual funds, and also is the first study in Iran that uses the MPPM and the Doubt Ratio in addition to a number of current performance measures to investigate the performance persistence in the equity mutual funds at several time horizons.

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Section: Resultscontrasting

confidence: 65%

“…Qian and Yu (2015) presented evidence of manipulation in US equity mutual funds based on the MPPM for the first time. They further identified the characteristics of the manipulated funds.…”

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Manipulation and performance persistence: an examination of Iranian equity mutual fund performance

Hosseini

Valahzaghard

Saeedi

2021

IMEFM

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“…Abdulali (2006);Bollen and Pool (2009);Ingersoll et al (2007);Qian and Yu (2015) 3 See, for example,Mas-Colell et al (1995) Chapter 23…”

mentioning

confidence: 99%

Comparison of Manipulation-proof Measures on Hungarian Data

Rácz¹

2019

Financial and Economic Review

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The further development of performance measures has managed to remedy some of the problems with earlier solutions, but with regard to the measures used most widely today, the issue of performance manipulation still needs to be tackled. This article presents the manipulation-proof performance measure (MPPM) developed by Ingersoll et al. (2007), which addresses this problem in a general sense. The MPPM used by Brown et al. (2010) is also detailed, along with the doubt ratio they developed, which can be used as a manipulation-detecting measure assessing implied risk aversion. With the calculations included here, this paper is one of the first to compare the MPPM and doubt ratio values calculated with the methods of the two groups of authors, seeking to explain the differences by using data from Hungarian absolute return funds as a sample. The results allow the author to be the first to propose the use of the more accurate MPPM formula of Ingersoll et al. (2007) both for performance measurement and calculation of the doubt ratio.

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