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Liquidity-augmented performance evaluation of Thai’s mutual funds

journal contribution
posted on 2023-06-09, 01:44 authored by Teerapan Suppa-Aim, Ranko JelicRanko Jelic, Michael Theobald
This study proposes a liquidity-augmented performance measure and investigates the performance of Thai mutual funds for the period of 2002-2007. Liquidity effects are found to have statistically significant impacts. Overall, the results provide no evidence of abnormal performance. The performance of tax-benefit funds, however, is found to be superior and statistically significantly different from that of general funds, even when the liquidity premium is controlled for. We find evidence of short-term persistence in performance when controlling for momentum effects.

History

Publication status

  • Published

Journal

Investment Management and Financial Innovations

ISSN

1810-4967

Publisher

Business Perspectives

Issue

2

Volume

11

Page range

28-37

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2016-06-20

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