کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089513 1375595 2012 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition
چکیده انگلیسی

When analyzing relative performance, especially at the institutional level, the traditional data envelopment analysis (DEA) models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency. We propose a novel two-stage DEA model that decomposes the overall efficiency of a decision-making unit into two components and demonstrate its applicability by assessing the relative performance of 66 large mutual fund families in the US over the period 1993-2008. By decomposing the overall efficiency into operational management efficiency and portfolio management efficiency components, we reveal the best performers, the families that deteriorated in performance, and those that improved in their performance over the sample period. We also make frontier projections for poorly performing mutual fund families and highlight how the portfolio managers have managed their funds relative to the others during financial crisis periods.

► Our DEA model decomposes efficiency into operational and portfolio efficiencies. ► We analyze the relative performance of 66 large mutual fund families in the US. ► Families with good portfolio management did better during financial crises. ► Using a frontier projection model, we show poorly performing families can improve.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 36, Issue 12, December 2012, Pages 3302-3317
نویسندگان
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