A comparison of international mutual funds efficiency

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-12-09 DOI:10.1016/j.frl.2024.106608

Marta Vidal, Javier Vidal-García, Stelios Bekiros, Juan Evangelista Trinidad Segovia

引用次数: 0

Abstract

In recent years, the investment fund industry has had a strong boost around the world, both in assets under management and in the number of funds and participants. This growth in supply and demand could be described as spectacular despite several crises in the financial markets during the last two decades. In this study, we examine and compare a sample of mutual funds across 35 countries for the 1990–2023 time period. The application of the efficiency ratios shows significant differences in efficiency among the evidence offered by the best-performing countries compared to those countries with the worst results. The fact that mutual funds obtain lower yield premiums compared to free-risk assets has originated a common situation of loss of performance efficiency at a global level. This phenomenon is shown by the three proposed indicators.

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国际共同基金效率比较

近年来，投资基金业在全球范围内得到了蓬勃发展，无论是在管理资产方面，还是在基金和参与者的数量方面。尽管过去二十年间金融市场发生了数次危机，但这种供需增长仍堪称惊人。在本研究中，我们对 1990-2023 年期间 35 个国家的共同基金样本进行了研究和比较。效率比率的应用表明，与结果最差的国家相比，表现最好的国家提供的证据在效率方面存在显著差异。与自由风险资产相比，共同基金获得的收益溢价较低，这在全球范围内造成了业绩效率损失的普遍情况。这一现象可以从三个拟议指标中看出。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance