The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. This paper provides a comprehensive...

We investigate the conditional performance of a sample of German equity mutual funds over the period from 1994 to 2003 using both the beta-pricing approach and the stochastic discount factor (SDF) framework. On average, mutual funds cannot generate excess returns relative to their benchmark that...

This study examines the incentives in fund management due to the adoption of specific performance measures. A mean-variance measure such as Jensen's alpha incentivizes fund managers to load negative coskewness risk. This risk is shown to be priced in the UK stock market during the period January...

We study the performance and portfolio characteristics of 828 newly launched US equity mutual funds over the period 1991-2005. These fund starts initially earn, on average, higher excess returns and higher abnormal returns. Their risk-adjusted performance is also superior to existing funds....

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information...

Standard models of moral hazard predict a negative relationship between risk and incentives; however, empirical studies on mutual funds present mixed results. In this article, we propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive...

The present study examines a series of performance measures with the aim of solving the ex-post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors...

This paper focuses on the estimation of mutual fund styles by return-based style analysis. Often the investment style is assumed to be constant through time. Alternatively, time variation is sometimes implicitly accounted for by using rolling regressions when estimating the style exposures. The...