รหัสดีโอไอ 10.14457/TU.the.2020.833
Title Skill versus luck: do actively managed equity mutual funds benefit investors in Thailand?
Creator Chirasin Siriprachai
Contributor Tatre Jantarakolica, Advisor
Publisher Thammasat University
Publication Year 2020
Keyword Bootstrapping, Mutual fund, Performance measurement
Abstract This study evaluated the performance of actively managed investment funds in Thailand from 2002 to 2020 to see whether these equity mutual funds can outperform the market. This study also investigated whether superior or inferior performance returns were due to fund management skill or luck. Cross-sectional bootstrapping was used to measure performance rather than classical statistical technique. This study applied two different well known bootstrapping methodologies. Single- and multiple-factor models were applied as benchmark for gross and net returns, and most mutual funds gained abnormal alpha by luck in both simulations. However, funds at the lower end or left-hand side of the cross-sectional distribution resulted from lack of skill, not only misfortune. Market timing, a skill distinct from stock selection, was also included in the benchmark model to detect fund manager abilities. Moreover, this study involved specific characteristics such as bank and non- bank funds in determining performance as Thailand is a bank-led economy. The mutual fund investment style or different time periods of investment were considered as well. The findings support the efficient market hypothesis that passive mutual funds are superior to active investment types and strategies because active management cannot outdo the passive approach in terms of overall risk, return, and cost.
ดิจิตอลไฟล์ Digital File #1

บรรณานุกรม

Chirasin Siriprachai และผู้แต่งคนอื่นๆ. (2020) Skill versus luck: do actively managed equity mutual funds benefit investors in Thailand?. Thammasat University:ม.ป.ท.
Chirasin Siriprachai และผู้แต่งคนอื่นๆ. 2020. Skill versus luck: do actively managed equity mutual funds benefit investors in Thailand?. ม.ป.ท.:Thammasat University;
Chirasin Siriprachai และผู้แต่งคนอื่นๆ. Skill versus luck: do actively managed equity mutual funds benefit investors in Thailand?. ม.ป.ท.:Thammasat University, 2020. Print.