RT Journal Article
T1 The value of coskewness in mutual fund performance evaluation
A1 Rodríguez López, Rosa
A1 Moreno, David
AB Recent 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.
PB Elsevier
SN 0378-4266
YR 2009
FD 2009-09
LK https://hdl.handle.net/10016/7604
UL https://hdl.handle.net/10016/7604
LA eng
DS e-Archivo
RD 19 may. 2024