Mutual Fund Performance Thesis

Mutual Fund Performance Thesis-33
Knowledge of the causes and degree of equity mutual fund volatility is beneficial to policy makers and economic forecasters in predicting the direction of mutual fund prices.However, previous Australian studies have only been limited into testing explicitly of superannuation funds and wholesale funds.Therefore, the study provides a further examination of mutual fund performance and price linkages by controlling for various equity mutual fund categories that can be useful to investors on which segments of Australian equity mutual funds they should consider investing in for differing economic conditions.

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This thesis examines the impact of mutual fund management companies on the performance of their managed funds using data that cover the period 2007 to 2016 on 782 different firms.

The results showed that the performance of mutual funds managed by publicly-traded mutual fund management companies was significantly compared to those managed by privately-held companies.

The main objective of the research, then, is to investigate the price volatility of the stock market and equity mutual funds by estimating vector auto-regression and vector error correction models to uncover the transmission mechanisms of the specified variables.

Long-run price co-movements are detected by employing Johansen cointegration tests, and the short-run price dynamic is analysed by the Granger causality/Block Exogeneity Wald test with variance decompositions and impulse response function and an examination of error correction terms to investigate the speed of the models to reach equilibrium and thus long-term Analysis of Australian equity mutual funds is not only important for investors and fund managers, but also for academics and policy makers, in examining the implications of investing in domestic equity markets.

Based on the sample data, the hypothesis of this thesis is that publicly-traded and privately-held fund management companies have different incentives and interests that impact mutual fund performance.

The thesis also addresses the issues of discontinuous returns and endogenous organizational form variables.

Then, if the prices of equity mutual funds and stock markets tend to converge, this suggests that the price of one security can be used to predict another.

Understanding the price behaviour and performance of mutual funds would be useful for investors who have a choice of investment.

However, because the organizational form of companies in the finance industry is so different from those in other industries, the effect on performance is quite different.

There has been little research done to determine how the organizational form of mutual fund management companies affect the performance of their mutual funds.


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