RT Journal Article
T1 The efficiency of mutual funds
A1 Vidal-Garcia, Javier
A1 Vidal, Marta
A1 Boubaker, Sabri
A1 Hassan, Majdi
AB This paper analyzes the short-term market efficiency of the mutual fund industry around the world. Using a unique database of worldwide domestic equity funds, it employs a parametric (regression model) and non-parametric (data envelopment analysis (DEA) model) approaches to establish a relation between cost (expense ratio, turnover, loads, and risk) and benefit (return) of mutual funds. The empirical results of the parametric approach show a statistically significant negative relationship between expenses and risk-adjusted performance across countries. When we reexamine this relationship using a non-parametric approach, we show, in contrast to our previous result, a positive relationship between expenses and risk adjusted performance. Thus, using the DEA methodology, we find strong evidence that equity mutual funds around the world are approximately mean–variance efficient.
PB Springer
SN 0254-5330
YR 2018
FD 2018
LK https://hdl.handle.net/20.500.14352/124277
UL https://hdl.handle.net/20.500.14352/124277
LA eng
NO Vidal-García, J., Vidal, M., Boubaker, S. et al. The efficiency of mutual funds. Ann Oper Res 267, 555–584 (2018). https://doi.org/10.1007/s10479-017-2429-z
DS Docta Complutense
RD 1 ene 2026