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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 TheobaldThis 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 InnovationsISSN
1810-4967Publisher
Business PerspectivesIssue
2Volume
11Page range
28-37Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2016-06-20Usage metrics
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