Abstract
The regional exposure and stock-selection ability of emerging markets mutual funds is empirically examined during the 2001 to 2005 time period. This sample of funds shows a clear preference towards the Asian markets and as a group show evidence of poor stock-selection ability. When the sample is partitioned between surviving and nonsurviving funds, only the subgroup of surviving funds show evidence of positive stock-selection ability.
Notes
1 For further details see Livingstone and O’Neal (Citation1998) and O’Neil (Citation1999).
2 To avoid the survivorship bias problems presented in Elton et al. (Citation1996) all nonsurviving funds are included in the analyses.
3 The list includes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Jordan, Malaysia, Mexico, Morocco, Pakistan, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand and Turkey.
4 Economies within the continent of Africa are considered Emerging Markets. However, we find no evidence of any Emerging Market mutual fund with significant exposure to Africa.
5 Although the emerging economies in Europe always received the lowest exposure, in most of the individual cases this exposure was different from zero.