Publication: Do bank-affiliated funds perform better than the others: the higher moment approach
Issued Date
2019-01-01
Resource Type
ISSN
21642257
16081625
16081625
Other identifier(s)
2-s2.0-85073807428
Rights
Mahidol University
Rights Holder(s)
SCOPUS
Bibliographic Citation
Asia-Pacific Journal of Accounting and Economics. (2019)
Suggested Citation
Woraphon Wattanatorn, Sarayut Nathaphan Do bank-affiliated funds perform better than the others: the higher moment approach. Asia-Pacific Journal of Accounting and Economics. (2019). doi:10.1080/16081625.2019.1658528 Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/50484
Research Projects
Organizational Units
Authors
Journal Issue
Thesis
Title
Do bank-affiliated funds perform better than the others: the higher moment approach
Author(s)
Other Contributor(s)
Abstract
© 2019, © 2019 City University of Hong Kong and National Taiwan University. In this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical testing model to match the environment of the high-volatility and high-reward market–the emerging market. Specifically, we introduce co-skewness as an additional important risk factor in this study. Therefore, our model specification matches the non-normality of return distribution in the market. Furthermore, according to the information advantage hypothesis, we provide evidence of the superior market timing ability of the high-performance bank-related fund.
