Does past performance affect mutual fund tracking error in Taiwan?

Wang, Chen‐Chi; Huang, Hung-Hsi; Chen, Cheng-Yu

doi:10.1080/00036846.2015.1051653

Cited by 2 publications

(2 citation statements)

References 53 publications

(88 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In other words, past performances affect an individual Bayesian learner's decision making process only when he/she made too many mistakes in the past. Indeed, our theoretical prediction is supported by the recent empirical evidence by reference [1] A recent, real-life example of a massive, systemic shock is the of course the GFC.…”

Section: Background and Motivationsupporting

confidence: 68%

Conviction Function? A New Decision Paradigm for Personal Financial Risk Management in the Face of Large Exogenous Shocks

Cohen

Nabin

Bhattacharya

et al. 2018

TEL

View full text Add to dashboard Cite

This paper contributes to the limited-information literature on savings in a stochastic environment. In particular, it contributes techniques and concepts to the question of state verification (or filtering), by including learning about aggregate income shocks, based on signals. As a seminal contribution to the extant literature, a "conviction function" is introduced, which takes into account histories of past prediction errors in determining how rational agents internalize such information in taking personal investment decisions. For purpose of a more transparent illustration, a numerical rendition of the posited model is provided for five consecutive time periods. We also perform a series of Monte Carlo simulations to demonstrate how the posited approach could potentially outperform traditional forward-looking models in the presence of sudden large extraneous shocks reminiscent of the recent Global Financial Crisis.

show abstract

Section: Background and Motivationsupporting

confidence: 68%

Conviction Function? A New Decision Paradigm for Personal Financial Risk Management in the Face of Large Exogenous Shocks

Cohen

Nabin

Bhattacharya

et al. 2018

TEL

View full text Add to dashboard Cite

show abstract

“…The descriptive results of the variables within the model are illustrated in Table II. As can be seen from Table II, the average growth of Vietnamese mutual funds is 0.064 or 6.4 percent, which is lower than developed countries such as the USA (11 percent) or the UK (9.5 percent) (Ayadi et al, 2016;Berkowitz et al, 2017;Moreno et al, 2014 figure is still higher than several emerging countries such as Bangladesh (5.5 percent) or South Africa (4.5 percent) (Tudorache et al, 2015;Wang et al, 2015). From the investor perspective in Vietnam, mutual funds' returns are not as attractive as other investment channels such as banks (quite similar returns but at lower risk) or the stock market (higher yield).…”

Section: Descriptive Analysismentioning

confidence: 99%

The impact of country-level and fund-level factors on mutual fund performance in Vietnam

Nguyen¹,

Nguyen

2019

JED

View full text Add to dashboard Cite

Purpose The purpose of this paper is to examine the determinants of mutual funds’ performance at both a country level and a fund level in Vietnam. Design/methodology/approach The different types of funds with more than three-year operation are selected to remove outliers of the stock market boom from 2015 to 2018. The data set includes 54 mutual funds operating during the period from 2008 until November 2018. Findings The research finds that there is a positive relationship between macroeconomics and mutual funds’ performance. Furthermore, country-level governance such as regulation effectiveness, political stability, economic growth and financial development has a positive correlation with mutual funds’ performance. However, the impact of fund-level factors is diverse with the no significant impact of board size on mutual fund’s performance, while passive funds perform better than active funds in Vietnam. Practical implications The research results suggest that investors should pay attention to the types of funds and operating expense when making an investment decision in mutual funds. There are some recommendations for both government policy-makers and the mutual fund industry that are likely to facilitate the development of this field in Vietnam. Originality/value The research contributes to the understanding of what are the factors that should be considered when investing in mutual funds.

show abstract

Does past performance affect mutual fund tracking error in Taiwan?

Cited by 2 publications

References 53 publications

Conviction Function? A New Decision Paradigm for Personal Financial Risk Management in the Face of Large Exogenous Shocks

Conviction Function? A New Decision Paradigm for Personal Financial Risk Management in the Face of Large Exogenous Shocks

The impact of country-level and fund-level factors on mutual fund performance in Vietnam

Contact Info

Product

Resources

About