A RE-EXAMINATION OF INVESTMENT PERFORMANCE EVALUATION METHODOLOGIES
Abstract
This study is to develop an investment performance evaluation model in the multi-factor arbitrage pricing theory framework and then empirically compare and apply three investment performance evaluation methodologies which are based on different assumptions. The three methodologies examined are the multi-factor selectivity model, the single-factor selectivity model, and the single-factor selectivity and timing model. Several criteria for comparison are developed and the results are reported. The actual investment performance of a sample of mutual funds are evaluated according to these three methodologies. In general, we have provided evidences to show that both the multi-factor selectivity model and the single-factor selectivity and timing model are superior to the single-factor selectivity model. However, the major conclusion about the non-superiority of mutual funds investment performance drawn from the tests based on the single-factor selectivity model have not been altered when these more sophisticated models are applied.
Degree
Ph.D.
Subject Area
Management
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