Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | The perils of performance measurement in the German mutual-fund industry |
| Organization Unit | |
| Authors |
|
| Language |
|
| Institution | University of Zurich |
| Series Name | Swiss Finance Institute Research Paper |
| Number | 13-30 |
| Number of Pages | 42 |
| Date | 2013 |
| Abstract Text | We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market model using both maximum likelihood and Bayesian estimation. The results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs. We show that using market returns computed at the end of the day instead of the best-fit time, usually leads to misleading inferences about mutual fund performance. |
| Official URL | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2270618 |
| Digital Object Identifier | 10.2139/ssrn.2270618 |
| Other Identification Number | merlin-id:8292 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|