Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94230
Authors: 
Keenan, Alexander J.
Year of Publication: 
2001
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2001,04
Abstract: 
Using duration analysis and CAPM, this paper seeks to estimate the length of time performance measures affect the probability of a mutual fund liquidating. Data was collected on small cap growth funds from 1980-Nov. 2000 using the Sharpe Ratio to estimate the probability that a mutual fund closes due to poor performance. Using a parametric approach the results show that a fund with a lower Sharpe ratio as well as overall strong performance by the market increases the probability of a fund's failure. The results also show the existence of positive duration implying older funds face a higher probability of failure. The results are then compared to other models to test the appropriateness of the model.
Subjects: 
Mutual funds
Document Type: 
Working Paper

Files in This Item:
File
Size
279.84 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.