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Another Look at Short-Term Efficiency and Persistence

其他書名	Evidence from the Asia Pacific Region
出版	SSRN, 2022
URL	http://books.google.com.hk/books?id=6z7ezwEACAAJ&hl=&source=gbs_api

註釋The Asian continent is home to 60% of the world's population and is the fastest growing economic area in the world. Both, big countries like China or India, and smaller economies are regions for huge growth potential and present excellent opportunities for potential investors. The proportion of investors selecting mutual funds over other alternatives as their primary saving method is increasing in recent years. Thus, the region is playing an increasingly prominent role in the global financial markets. In this article we examine the efficiency and persistence of mutual funds in the Asia-Pacific region since January 1990 until December 2021. Using a unique sample of daily data for domestic equity funds from the twelve largest Asia-Pacific mutual fund countries, we carry out an efficiency analysis for each country. For this purpose we use as measures the Sharpe and Treynor ratios, Carhart's alpha and non-parametric contingency tables. Our study shows that average performance (Carhart's alpha) is positive for most countries (8 out of 12) at any time interval considered. These results indicate that in the Asia-Pacific fund market, the value added by active management covers the fees incurred by funds. We can conclude that there is persistence in the returns in all Asia-Pacific countries in the short, medium and long term (up to five year interval), which means that past performance would be useful for investors to select their future investments.