Intra-Quarter Seasonality in Mutual Fund Performance: Evidence from Thailand
Post by MSF Chula at Sunday, 10 January 2021 05:12 PM

This study examines the appearance of quarterly return seasonality in Thailand’s mutual fund which invested in Stock Exchange of Thailand more than 80% from 2009 to 2018 as there is the underperformance in aggregate of mutual fund between the year. This study aims to group the sample into various aspect as size of mutual fund, style of investment and address the relationship between the window dressing action and the fund’s performance. Not only January effect which appear in stock return from window-dressing, Stephen j. brown et al. also show in the studies that it appears an intra-quarter seasonality in U.S. Stock with negative return for the first month of each quarter and reversal to be better performance in next two months. Moreover, this seasonality still holds in case of risk-adjusted factor of Fama and French three-factor model and Carhart four-factor model. So, we would like to investigate whether this seasonality still hold in the case of Thailand’s mutual fund.

The finding reports that the quarterly seasonality occurred in Thailand mutual fund industry. There is a significant in relationship between window dressing and the negative return which could be seen from the lower return in the first month of next quarter. Although we subdivided sample into size and style, the negative return still appeared in the first month of each quarter. However, we find no evidence of mutual fund’s flow as the reason from this quarterly seasonality.

Last updated at Sunday, 10 January 2021 05:12 PM