Lunde, Asger, Timmermann, Allan and Blake, David (1998) The hazards of mutual fund performance: a Cox regression analysis. Financial Markets Group Discussion Papers (302). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Full text not available from this repository.Abstract
This paper investigates the process determining mutual funds' conditional probability of closure, i.e. their hazard function. Using a nonparametric approach to estimate the effects of a fund's age on its hazard rate, we find a distinctly nonlinear, inverse U-shaped pattern in the relationship. Hence young and very old funds are least likely to be closed down. A fund's relative performance and (less significantly) the level of return in the sector in which the fund operates are also identified as important factors in the closure decision. Results from semiparametric Cox regressions are compared with those from the discrete choice probit model used by Brown and Goetzmann (1995). Finally, we provide a complete summary of the fund that survive up to a given age, and we identify the effect of fund attrition on a standard measures of persistence of fund performance.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | https://www.fmg.ac.uk/ |
| Additional Information: | © 1998 The Author(s) |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance |
| Date Deposited: | 23 Jun 2023 08:39 |
| Last Modified: | 16 Sep 2023 00:03 |
| URI: | http://eprints.lse.ac.uk/id/eprint/119149 |
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