Liquidity-augmented performance evaluation of Thai’s mutual funds

Suppa-Aim, Teerapan, Jelic, Ranko and Theobald, Michael (2014) Liquidity-augmented performance evaluation of Thai’s mutual funds. Investment Management and Financial Innovations, 11 (2). pp. 28-37. ISSN 1810-4967

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Abstract

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.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences
Related URLs:
Depositing User: Tahir Beydola
Date Deposited: 20 Jun 2016 10:36
Last Modified: 03 Nov 2016 09:50
URI: http://sro.sussex.ac.uk/id/eprint/61565
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