Emerging markets mutual funds performance evaluation: Evidence
from the Central and Eastern Europe

D 2014

Emerging markets mutual funds performance evaluation: Evidence from the Central and Eastern Europe

LEMESHKO, Oleksandra a Galina MUKHACHEVA

Základní údaje

Originální název

Emerging markets mutual funds performance evaluation: Evidence from the Central and Eastern Europe

Autoři

LEMESHKO, Oleksandra (804 Ukrajina, garant, domácí) a Galina MUKHACHEVA (643 Rusko, domácí)

Vydání

Bulgaria, SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance, od s. 241-248, 8 s. 2014

Nakladatel

SGEM

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Bulharsko

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Kód RIV

RIV/00216224:14560/14:00076487

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-619-7105-26-1

ISSN

DOI

http://dx.doi.org/10.5593/sgemsocial2014B22

UT WoS

000359614600031

Klíčová slova anglicky

assets under management; net asset value; risk-adjusted performance; CAPM; CEE

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 7. 9. 2015 14:13, Mgr. Daniela Marcollová

Anotace

V originále

Although for more than a century investors have been almost exclusively interested in funds from countries with mature economies and developed capital markets, nevertheless during the last decade funds from emerging economies have increasingly started to draw investors' attention. High growth rates and frequent abnormal returns make local mutual funds being a strong investment opportunity for sophisticated investors from developed markets and, thus, their performance evaluation being a frequent topic of modern research by world academic and professional asset management societies. However, the vast body of literature provides evidence mainly for Asian, Latin American, Indian and Islamic funds, leaving fund industry of the Central and Eastern Europe outside the scope of their research. On the basis of a few existing country studies the local funds performance can be characterized as quite controversial – on average, local funds do not generate abnormal returns, but they still exist. The paper aims to reevaluate absolute and relative risk-adjusted performance of open-end mutual funds on the sample of 11 high- and middle-income economies from the Central and Easter Europe for the time span from 2000 to 2013. Following established practice, fund performance is evaluated by means of unconditional and conditional single-factor CAPM, given by Sharpe and Treynor ratios, Jensen’s alpha and M2, as well as multifactor CAPM, given by Fama-French and Carhart models, raw input data for which is collected from Bloomberg terminal and data sets of World Development Indicators and International Financial Statistics. Although the chosen research does not cover as large number of performance measures and attributes as previous studies, it provides a useful insight into CEE mutual fund performance, documenting important country and regional characteristics.

Návaznosti

MUNI/A/0786/2013, interní kód MU

Název: Analýza a predikce vývoje cen finančních a investičních nástrojů

Investor: Masarykova univerzita, Analýza a predikce vývoje cen finančních a investičních nástrojů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

LEMESHKO, Oleksandra a Galina MUKHACHEVA. Emerging markets mutual funds performance evaluation: Evidence from the Central and Eastern Europe. In SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance. Bulgaria: SGEM, 2014, s. 241-248. ISBN 978-619-7105-26-1. Dostupné z: https://dx.doi.org/10.5593/sgemsocial2014B22.

@inproceedings{1198153,
   author = {Lemeshko, Oleksandra and Mukhacheva, Galina},
   address = {Bulgaria},
   booktitle = {SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance},
   doi = {http://dx.doi.org/10.5593/sgemsocial2014B22},
   keywords = {assets under management; net asset value; risk-adjusted performance; CAPM; CEE},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Bulgaria},
   isbn = {978-619-7105-26-1},
   pages = {241-248},
   publisher = {SGEM},
   title = {Emerging markets mutual funds performance evaluation: Evidence from the Central and Eastern Europe},
   year = {2014}
}

TY  - JOUR
ID  - 1198153
AU  - Lemeshko, Oleksandra - Mukhacheva, Galina
PY  - 2014
TI  - Emerging markets mutual funds performance evaluation: Evidence from the Central and Eastern Europe
PB  - SGEM
CY  - Bulgaria
SN  - 9786197105261
KW  - assets under management
KW  - net asset value
KW  - risk-adjusted performance
KW  - CAPM
KW  - CEE
N2  - Although for more than a century investors have been almost exclusively interested in funds from countries with mature economies and developed capital markets, nevertheless during the last decade funds from emerging economies have increasingly started to draw investors' attention. High growth rates and frequent abnormal returns make local mutual funds being a strong investment opportunity for sophisticated investors from developed markets and, thus, their performance evaluation being a frequent topic of modern research by world academic and professional asset management societies. However, the vast body of literature provides evidence mainly for Asian, Latin American, Indian and Islamic funds, leaving fund industry of the Central and Eastern Europe outside the scope of their research. On the basis of a few existing country studies the local funds performance can be characterized as quite controversial – on average, local funds do not generate abnormal returns, but they still exist. The paper aims to reevaluate absolute and relative risk-adjusted performance of open-end mutual funds on the sample of 11 high- and middle-income economies from the Central and Easter Europe for the time span from 2000 to 2013. Following established practice, fund performance is evaluated by means of unconditional and conditional single-factor CAPM, given by Sharpe and Treynor ratios, Jensen’s alpha and M2, as well as multifactor CAPM, given by Fama-French and Carhart models, raw input data for which is collected from Bloomberg terminal and data sets of World Development Indicators and International Financial Statistics. Although the chosen research does not cover as large number of performance measures and attributes as previous studies, it provides a useful insight into CEE mutual fund performance, documenting important country and regional characteristics.
ER  -

LEMESHKO, Oleksandra a Galina MUKHACHEVA. Emerging markets mutual funds performance evaluation: Evidence from the Central and Eastern Europe. In \textit{SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance}. Bulgaria: SGEM, 2014, s.~241-248. ISBN~978-619-7105-26-1. Dostupné z: https://dx.doi.org/10.5593/sgemsocial2014B22.

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