Tóm tắt
Purpose – The purpose of this paper is to examine the determinants of mutual funds’ performance at both a country level and a fund level in Vietnam. Design/methodology/approach – The different types of funds with more than three-year operation are selected to remove outliers of the stock market boom from 2015 to 2018. The data set includes 54 mutual funds operating during the period from 2008 until November 2018. Findings – The research finds that there is a positive relationship between macroeconomics and mutual funds’ performance. Furthermore, country-level governance such as regulation effectiveness, political stability, economic growth and financial development has a positive correlation with mutual funds’ performance. However, the impact of fund-level factors is diverse with the no significant impact of board size on mutual fund’ s performance, while passive funds perform better than active funds in Vietnam. Practical implications – The research results suggest that investors should pay attention to the types of funds and operating expense when making an investment decision in mutual funds. There are some recommendations for both government policy-makers and the mutual fund industry that are likely to facilitate the development of this field in Vietnam. Originality/value – The research contributes to the understanding of what are the factors that should be considered when investing in mutual funds.
Chủ đề
Macroeconomic factors, Investment decision, Fund performance, Determinants of performance
Nhà xuất bản
Kinh Tế Quốc Dân???dc.relation.reference???
Adams, J.C., Mansi, S.A. and Nishikawa, T. (2010), “Internal governance mechanisms and operational performance: evidence from index mutual funds”, Review of Financial Studies, Vol. 23 No. 3, pp. 1261-1286. Alan, D.C. and Kevin, C. (2018), “Passive versus active fund performance: do index funds have skill?”, Journal of Financial and Quantitative Analysis, Vol. 53 No. 1, pp. 33-64, doi: 10.1017/s00221090 17000904. Angelidis, T., Giamouridis, D. and Tessaromatis, N. (2013), “Revisiting mutual fund performance evaluation”, Journal of Banking and Finance, Vol. 37 No. 5, pp. 1759-1776. Asal, M. (2016), “Testing for the presence of skill in Swedish mutual fund performance: evidence from a bootstrap analysis”, Journal of Economics and Business, Vol. 88, pp. 22-35. Ayadi, M.A., Chaibi, A. and Kryzanowski, L. (2016), “Performance of Canadian hybrid mutual funds”, North American Journal of Economics and Finance, Vol. 38, pp. 124-147. Ban, J. (2015), “Effects of sales expenses and management expenses on mutual fund performance and flows”, Asia-Pacific Journal of Financial Studies, Vol. 44 No. 1, pp. 129-173. Banegas, A., Gillen, B., Timmermann, A. and Wermers, R. (2013), “The cross section of conditional mutual fund performance in European stock markets”, Journal of Financial Economics, Vol. 108 No. 3, pp. 699-726. Barras, L., Scaillet, O. and Wermers, R. (2010), “False discoveries in mutual fund performance: measuring luck in estimated Alphas”, The Journal of Finance, Vol. 65 No. 1, pp. 179-216. Berkowitz, J.P., Schorno, P.J. and Shapiro, D.A. (2017), “ Characteristics of mutual funds with extreme performance” , Review of Financial Economics, Vol. 34, pp. 50-60. Bialkowski, J. and Otten, R. (2011), “Emerging market mutual fund performance: evidence for Poland”, North American Journal of Economics and Finance, Vol. 22 No. 2, pp. 118-130. Bloomberg (2018), “Mutual funds with geographic investment in Viet Nam”, available at: www. bloomberg.com/markets/stocks (accessed October 30, 2018). Champagne, C., Karoui, A. and Patel, S. (2018), “ ‘Portfolio turnover activity and mutual fund performance”, Managerial Finance, Vol. 44 No. 3, pp. 326-356. Chen, C.R. and Huang, Y. (2011), “Mutual fund governance and performance: a quantile regression analysis of Morningstar’s Stewardship Grade”, Corporate Governance-an International Review, Vol. 19 No. 4, pp. 311-333. Cuthbertson, K., Nitzsche, D. and O’Sullivan, N. (2012), “False discoveries in UK mutual fund performance”, European Financial Management, Vol. 18 No. 3, pp. 444-463. Dharmalingam, N. and Gurunathan, K.B. (2016), “Performance of monthly income scheme in mutual fund industry in India”, Global Journal of Management and Business Research: C Finance, Vol. 16 No. 7, pp. 50-58. Ercolani, M.G., Pouliot, W. and Ercolani, J.S. (2018), “Luck versus skill over time: time-varying performance in the cross-section of mutual fund returns”, Applied Economics, Vol. 50 Nos 34/35, pp. 3686-3701. Fama, E.F. and Eugene, F. (1972), “Components of investment performance”, Journal of Finance, Vol. 27, pp. 551-567. Fama, E.F. and French, K.R. (2010), “Luck versus skill in the cross-section of mutual fund returns”, The Journal of Finance, Vol. 65 No. 5, pp. 1915-1947. Ferreira, M.A., Keswani, A., Miguel, A.F. and Ramos, S.B. (2013), “The determinants of mutual fund performance: a cross-country study”, Review of Finance, Vol. 17 No. 2, pp. 483-525, doi: 10.1093/rof/rfs013. Foran, J. and O’Sullivan, N. (2014), “Liquidity risk and the performance of UK mutual funds”, International Review of Financial Analysis, Vol. 35, pp. 178-189. General Statistics Office of Vietnam (2018), “Press release of the socio-economic situation in 2017”, General Statistics Office of Vietnam, Hanoi. Howell, M.J. (2001), “Fund age and performance”, The Journal of Alternative Investments, Vol. 4 No. 2, pp. 57-60, doi: 10.3905/jai.2001.319011. Imisiker, S. and Ozlale, U. (2008), “Assessing selectivity and market timing performance of mutual funds for an emerging market”, Emerging Markets Finance and Trade, Vol. 44 No. 2, pp. 87-99. Kiymaz, H. (2015), “A performance evaluation of Chinese mutual funds”, International Journal of Emerging Markets, Vol. 10 No. 4, pp. 820-836. Lemeshko, O. and Mukhacheva, G. (2014), “Emerging markets mutual funds performance evaluation: evidence from the central and Eastern Europe”, Political Sciences, Law, Finance, Economics and Tourism, Vol. 2, pp. 241-248. Liu, Y., Miletkov, M.K., Wei, Z. and Yang, T. (2015), “Board independence and firm performance in China”, Journal of Corporate Finance, Vol. 30, pp. 223-244. Malkiel, B.G. (2003), “Passive investment strategies and efficient markets”, European Financial Management, Vol. 9 No. 1, pp. 1-10. Mansor, F., Bhatti, M.I. and Ariff, M. (2015), “New evidence on the impact of fees on mutual fund performance of two types of funds”, Journal of International Financial Markets Institutions and Money, Vol. 35, pp. 102-115. Matallin-Saez, J.C., Soler-Dominguez, A. and Tortosa-Ausina, E. (2012), “Mutual fund performance: banking versus independent managers”, Applied Economics Letters, Vol. 19 No. 8, pp. 755-758. Moreno, D., Rodriguez, R. and Wang, C. (2014), “ Accurately measuring gold mutual fund performance” , Applied Economics Letters, Vol. 21 No. 4, pp. 268-271. Nanigian, D. (2018), “What matters in ETF selection?”, Proceedings of Academic Research Colloquium for Financial Planning and Related Disciplines, the CFP Board Center for Financial Planning, Washington, DC, February 21. Otero, L.A. and Reboredo, J.C. (2018), “The performance of precious-metal mutual funds: does uncertainty matter?”, International Review of Financial Analysis, Vol. 57, pp. 13-22. Parida, S. and Teo, T. (2018), “The impact of more frequent portfolio disclosure on mutual fund performance”, Journal of Banking and Finance, Vol. 87, pp. 427-445. Petajisto, A. (2013), “Active share and mutual fund performance”, Financial Analysts Journal, Vol. 69 No. 4, pp. 73-93. Pouliot, W. (2016), “Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry”, Economic Modelling, Vol. 58, pp. 523-534. Ro, S. and Gallimore, P. (2014), “Real estate mutual funds: herding, momentum trading and performance”, Real Estate Economics, Vol. 42 No. 1, pp. 190-222. Santamaria, T.C., de Ibarreta, C.M. and Calvo, J.R. (2018), “Timid performance fees in mutual funds”, Journal of Asset Management, Vol. 19 No. 1, pp. 64-77. Sehgal, S. and Babbar, S. (2017), “Evaluating alternative performance benchmarks for Indian mutual fund industry”, Journal of Advances in Management Research, Vol. 14 No. 2, pp. 222-250. Simutin, M. (2014), “Cash holdings and mutual fund performance”, Review of Finance, Vol. 18 No. 4, pp. 1425-1464. State Securities Committee (2018), “Report on mutual fund industry”, State Securities Committee, Hanoi. Tudorache, F.G., Nicolescu, L. and Lupu, R. (2015), “Evolution of mutual funds in Romania: performance and risks”, Romanian Journal of Economic Forecasting, Vol. 18 No. 4, pp. 180-197. Wang, C.P., Huang, H.H. and Chen, C.Y. (2015), “‘Does past performance affect mutual fund tracking error in Taiwan?”, Applied Economics, Vol. 47 No. 51, pp. 5476-5490. Warner, J.B. and Wu, J.S. (2011), “Why do mutual fund advisory contracts change? Performance, growth, and spillover effects”, Journal of Finance, Vol. 66 No. 1, pp. 271-306. Webster, D. (2002), “Mutual fund performance and fund age”, working paper, SSRN Electronic Journal, available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1764543 (accessed January 1, 2002). Wermers, R. (2011), “Performance measurement of mutual funds, hedge funds, and institutional accounts”, Annual Review of Financial Economics, Vol. 3 No. 3, pp. 537-574. World Bank (2018), “Data catalog”, available at: https://datacatalog.worldbank.org (accessed October 30, 2018). Yermack, D. (1996), “Higher market valuation of companies with a small board of directors”, Journal of Financial Economics, Vol. 40 No. 2, pp. 185-211. Zhang, Y. and Tjong, A. (2012), “Evaluating performance of Chinese and Japanese mutual funds’ listed in NASDAQ stock exchange”, 19th Annual Conference Proceedings of International Conference on Management Science & Engineering, Dallas, TX, pp. 1326-1335.
Adams, J.C., Mansi, S.A. and Nishikawa, T. (2010), “Internal governance mechanisms and operational performance: evidence from index mutual funds”, Review of Financial Studies, Vol. 23 No. 3, pp. 1261-1286. Alan, D.C. and Kevin, C. (2018), “Passive versus active fund performance: do index funds have skill?”, Journal of Financial and Quantitative Analysis, Vol. 53 No. 1, pp. 33-64, doi: 10.1017/s00221090 17000904. Angelidis, T., Giamouridis, D. and Tessaromatis, N. (2013), “Revisiting mutual fund performance evaluation”, Journal of Banking and Finance, Vol. 37 No. 5, pp. 1...See More
