The outperformance and investment skill of high Active share of mutual fund managers who trade infrequently: The Evidence from Thailand
Post by MSF Chula at Monday, 18 September 2017 04:56 PM

This study examines whether the active equity management funds with high Active
share and long Fund duration in Thailand can generate abnormal return. This study applies the
ideas from Cremers and Pareek (2016) by using Active share and two proxies of how long the
stocks have been held in the portfolios which are Fund duration and Fund turnover ratio, along
with evaluating the performance in the subsequent year by using a five-factor model. This study
finds that funds with high Active share and long Fund duration cannot significantly generate
abnormal return whereas the study from Cremers and Pareek (2016) finds that in US only the
portfolio of funds with high Active share and long Fund duration can significantly generate
abnormal return. However, when replacing Fund duration by fund turnover ratio, this study
finds that funds with low turnover ratio can significantly generate positive abnormal return.

Last updated at Monday, 18 September 2017 04:56 PM