In this article, we estimate several augmented Treynor and Mazuy (1966) models to examine the performance of hedge fund index returns in four different emerging market regions. In our estimations we match the fund returns with the regional emerging market equity and bond index data, which is a...

It is well-established in the financial literature that the global performance of mutual fund managers is the result of two skills: selectivity and market timing. This paper examines whether the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach improves our...

We investigate the performance of the German equity mutual fund industry over 20years (monthly data 1990–2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama–French three factor (3F) model (with no market timing) we find...