A Note on Performance Evaluation of New Zealand Mutual Funds

• Main Authors: Kesayan, Puspakaran, Visaltanachoti, Nuttawat, Lin, Tammy Tao
• Format: Article
• Language: English
• Published: Universiti Utara Malaysia Press 2006
• Subjects: HG Finance
• Online Access: http://repo.uum.edu.my/25107/1/IJBF%203-4%202006%2099%20106.pdf; http://repo.uum.edu.my/25107/; http://ijbf.uum.edu.my/index.php/previous-issues/134-the-international-journal-of-banking-and-finance-ijbf-vol-3-4-special-issue-2005-2006

This paper reports on the performance of the New Zealand unit trusts over 11 years using the Fama-French three-factor model and the Cahart (1997) unconditional asset pricing test. The results reveal that the funds had negative Jensen’s alphas and thus poor performance. The conditional model shows th...