AUTHORS: Pablo Solórzano-Taborga, Ana Belén Alonso-Conde, Javier Rojo-Suárez
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ABSTRACT: In order to analyze and assess the behavior of the European equity mutual funds market, we present a method for evaluating and selecting them, using two different approaches, which vary from the conventional measures of performance: Data Envelopment Analysis (DEA) and stochastic dominance. The analysis suggests a strong relation between the results that we obtain with each method. Likewise, we demonstrate that both indicators are highly correlated with the expected returns and that they have a high explanatory power. Additionally, we have included alphas as a right-hand variable and we confirm that they have a strong relation with DEA and stochastic dominance.
KEYWORDS: Equity mutual funds; DEA; efficiency; stochastic dominance; variable returns to scale.
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WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 16, 2019, Art. #26, pp. 226-238
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