WSEAS Transactions on Business and Economics

Print ISSN: 1109-9526
E-ISSN: 2224-2899

Volume 16, 2019

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.

Volume 16, 2019

Efficiency and Stochastic Dominance in the European Equity Mutual Fund Market

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

Copyright Β© 2018 Author(s) retain the copyright of this article. This article is published under the terms of the Creative Commons Attribution License 4.0