Doctoral thesis: Measuring mutual fund performance by using theory of networks
In his doctoral thesis, “Essays on Mutual Fund Performance”, David González addresses the topics of mutual funds and networks. In his thesis, González uses a complex approach to networks in order to address the issue of cross-correlation among funds.
Gonzáles studies how informational linkages affect the performance of a mutual fund and estimates informational linkages by measuring the centrality in a network of mutual funds. Centrality is interpreted as a measure of how closely correlated the returns of a particular fund are to other funds on the market.
- Centrality implies access to non-public market information, which should positively affect fund performance. The results show that there is significant relationship between performance and position in the network, after controlling for age, size, turnover and inactivity, González says.
The results also show how that there is a link between persistence and correlation between funds, which further supports that centrality and performance are related.
Gonzalez also studies how correlation of funds explain herd behaviour in the mutual fund industry.
- Herd performance is when an investor bases his investment decisions on a choice to follow other investors or analyst recommendations, instead of the investment being a result of a rational process of collecting and analysing information. The results show that herd behaviour is evident in the mutual funds industry and that it correlates with the degree of centrality in the network, González concludes.
M.Sc. David González defends his doctoral thesis in Finance: “Essays on Mutual Fund Performance” Wednesday, 8 June 2016.
Date and Time: 8 June 2016, 10 a.m.
Location: Assembly Hall, Hanken School of Economics, Vasa
Opponent: Professor Wolfgang Bessler, Justus-Liebig-Universität Giessen
Custos: Professor Johan Knif, Hanken School of Economics
A copy of the thesis can be downloaded via this link:
http://hdl.handle.net/10138/162991
For more information:
David González
E-mail: david.gonzalez@hanken.fi