On understanding mutual fund terminations |
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Authors: | Qiang Bu Nelson Lacey |
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Institution: | (1) School of Business Administration, Pennsylvania State University–Harrisburg, Middletown, PA 17057, USA;(2) Isenberg School of Management, University of Massachusetts–Amherst, Amherst, MA 01003, USA |
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Abstract: | We examine the determinants of US mutual fund terminations and provide estimates of mutual fund hazard functions. We find
that mutual fund termination correlates with a variety of fund specific variables as well as with market variables such as
the S&P 500 index and the short-term interest rate. We also test the underlying assumptions of the semi-parametric Cox model
and reject proportionality, thus calling to question the use of this model in forming estimates of mutual fund hazard functions.
We find that different fund categories exhibit distinct hazard functions depending on the fund’s investment objectives.
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Keywords: | Mutual fund termination Market condition Proportionality Cox model Hazard function |
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