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Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds

This paper evaluates the investment performance of Malaysian-based international equity funds. The results on the overall fund performance using Jensen’s (1968) model indicate that, on average, international funds have significant negative risk-adjusted returns over the study period from 2008-2010....

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Main Author: Low, Soo-Wah
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2013
Online Access:http://journalarticle.ukm.my/6969/1/4610-10782-1-SM.pdf
http://journalarticle.ukm.my/6969/
http://ejournal.ukm.my/pengurusan/index
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spelling my-ukm.journal.69692016-12-14T06:42:44Z http://journalarticle.ukm.my/6969/ Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds Low, Soo-Wah This paper evaluates the investment performance of Malaysian-based international equity funds. The results on the overall fund performance using Jensen’s (1968) model indicate that, on average, international funds have significant negative risk-adjusted returns over the study period from 2008-2010. Since the model ignores market timing activity, it implicitly attributes the overall negative return to manager’s poor stock selection ability. However, the performance breakdown results on managerial expertise using the models of Treynor and Mazuy (1966) and Henriksson and Merton (1981) show evidence of positive selectivity and negative market timing returns. Taken together, the highly significant negative timing returns suggest that, on average, international fund managers have perverse market timing ability. The paper finds little evidence that Malaysian investors achieve diversification benefits from investing in overseas equity markets. Penerbit Universiti Kebangsaan Malaysia 2013 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/6969/1/4610-10782-1-SM.pdf Low, Soo-Wah (2013) Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds. Jurnal Pengurusan, 38 . pp. 41-51. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description This paper evaluates the investment performance of Malaysian-based international equity funds. The results on the overall fund performance using Jensen’s (1968) model indicate that, on average, international funds have significant negative risk-adjusted returns over the study period from 2008-2010. Since the model ignores market timing activity, it implicitly attributes the overall negative return to manager’s poor stock selection ability. However, the performance breakdown results on managerial expertise using the models of Treynor and Mazuy (1966) and Henriksson and Merton (1981) show evidence of positive selectivity and negative market timing returns. Taken together, the highly significant negative timing returns suggest that, on average, international fund managers have perverse market timing ability. The paper finds little evidence that Malaysian investors achieve diversification benefits from investing in overseas equity markets.
format Article
author Low, Soo-Wah
spellingShingle Low, Soo-Wah
Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
author_facet Low, Soo-Wah
author_sort Low, Soo-Wah
title Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_short Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_full Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_fullStr Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_full_unstemmed Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_sort investment performance analysis of managerial expertise: evidence from malaysian-based international equity unit trust funds
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2013
url http://journalarticle.ukm.my/6969/1/4610-10782-1-SM.pdf
http://journalarticle.ukm.my/6969/
http://ejournal.ukm.my/pengurusan/index
_version_ 1643736960843382784
score 13.244413

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