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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 1

Robust Measures of Hybrid Emerging Market Mutual Funds Performance

Mohamed A. Ayadi,    Department of Finance, Operations, and Information Systems, Goodman School of Business, Brock University, St. Catharines, ON, Canada,    E-mail: mayadi@brocku.ca

Abstract

This chapter uses the fundamental asset pricing theorem to derive new conditional stochastic discount factor-based performance measures. The proposed setting is suitable to perform (un)conditional evaluations of fixed-weight and dynamic strategies of hybrid emerging market mutual funds. The empirical framework and the associated performance statistical tests in a GMM framework are also developed and discussed.

Keywords

Risk management; Stochastic discount factor; Emerging markets; ...

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