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The value of coskewness in evaluating mutual funds

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMoreno, David
dc.contributor.authorRodríguez, Rosa
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2009-03-17T18:42:31Z
dc.date.available2009-03-17T18:42:31Z
dc.date.issued2008-12
dc.description.abstractRecent asset pricing studies demonstrate the relevance of incorporating the 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 funds performance evaluation. We find evidence that adding a coskewness factor is economically and statistically significant. We document that some managers are managing the coskewness and show, in general, a persistent behaviour on time in their coskewness policy. 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, a ranking of funds based on risk adjusted returns without considering coskewness would generate an erroneous classification. Moreover, some fund characteristics, such as the turnover ratio or the category, are related to the likelihood of managing coskewness.
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb087616
dc.identifier.urihttps://hdl.handle.net/10016/3832
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working paper. Business Economic Series
dc.relation.ispartofseries76
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelG12
dc.subject.jelG11
dc.subject.jelG23
dc.subject.otherMutual funds
dc.subject.otherPerformance measures
dc.subject.otherCoskewness
dc.titleThe value of coskewness in evaluating mutual funds
dc.typeworking paper*
dspace.entity.typePublication
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