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The value of coskewness in mutual fund performance evaluation

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorRodríguez López, Rosa
dc.contributor.authorMoreno, David
dc.date.accessioned2010-04-15T11:09:09Z
dc.date.available2010-04-15T11:09:09Z
dc.date.issued2009-09
dc.description.abstractRecent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness policy over time. One of the most striking results is that many negative (positive) alpha funds, measured relative to the CAPM risk adjustments, would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, performance ranking based on risk-adjusted returns without considering coskewness could generate an erroneous classification. Moreover, some fund characteristics, such as turnover ratio or category, are related to the likelihood of managing coskewness.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Banking & Finance, septiembre 2009, Vol. 33, No 9, p. 1664-1676
dc.identifier.doi10.1016/j.jbankfin.2009.03.015
dc.identifier.issn0378-4266
dc.identifier.publicationfirstpage1664
dc.identifier.publicationissue9
dc.identifier.publicationlastpage1676
dc.identifier.publicationtitleJournal of banking & finance
dc.identifier.publicationvolume33
dc.identifier.urihttps://hdl.handle.net/10016/7604
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.jbankfin.2009.03.015
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherCoskewness
dc.subject.otherMutual funds
dc.subject.otherPerformance measures
dc.titleThe value of coskewness in mutual fund performance evaluation
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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