Just over 20 years have passed since the publication of Mark Carhart's landmark 1997 study
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …

Gaining a better understanding of the behavior of international investors is key for informing
the debate about the optimal response to capital flows and about reforms to the international …

This study assesses the effect of fund-level and systemic factors on the performance of
mutual funds in the context of changing market conditions. A Markov regime-switching …

There is a growing literature that employs nonparametric frontier methods in order to
evaluate the performance of investment funds. This paper proposes an integrated approach …

Using data on portfolio holdings, we examine the performance of 143 global equity funds
over 2002–2012. We find that the average global equity manager outperforms the …

Questions regarding the specific factors that drive continuous cash allocations by investors
into portfolios of actively managed funds, despite consistent underperformance, continue to …

We use Markovian regime-switching models to assess the performance of Canadian fixed-
income mutual funds from 1980 to 2011. Fund returns are well described by two distinct …

Traditional asset pricing models such as the Capital Asset Pricing Model (CAPM) of Sharpe
(1964), Lintner (1965), and Mossin (1966); Merton's (1973) Intertemporal Capital Asset …

This study contributes to the academic literature on faith-based mutual funds, by offering a
comparative investigation of Islamic vs. conventional funds' performance sensitivity to …

We examine the performance of US‐based foreign and global funds after controlling for their
regional and style exposure. We show that, on average, the total performance (TP) and …