How Persistent is Equity Style Performance Among Malaysian Fund Managers?

Lau, Wee-Yeap

doi:https://doi.org/10.18910/19687

How Persistent is Equity Style Performance Among Malaysian Fund Managers?

Lau, Wee-Yeap

大阪大学経済学, 2005, 55(3), 64-82

アクセス数:134件（2025-08-31 14:59 集計）

固定URL: https://doi.org/10.18910/19687

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タイトル	How Persistent is Equity Style Performance Among Malaysian Fund Managers?
著者	著者名 Lau, Wee-Yeap
キーワード等	論文
	style analysis
	mutual fund
	equity style
	performance measurement
	persistence of performance
JEL分類コード (JEL)	G11
	G18
	G23
抄録	The knowledge of equity style of mutual funds has benefited investors by mitigating the issue of asymmetric information between fund managers and investors. However, the investors also need to know whether the equity style performance persists throughout different time periods. In this study, style analysis by Sharpe (1988, 1992) is used to decompose the funds into style and selection components, and reclassify the funds into growth and value styles in order to mitigate the misclassification of fund objectives. Performances are measured by selection return and risk-adjusted return against MSCI style benchmarks and Bursa Malaysia Composite Index (BMCI). The measurement of risk-adjusted return is also extended to the next period in order to investigate the persistence of performance. Our results show that under self-defined fund objectives, there is no persistence of performance either by style or market benchmarks. However, after controlling for equity style effect, there are positive and significant correlation for style alpha and BMCI alpha between period one and two for growth style funds, implying that there is persistence of performance between two periods. This study highlights the importance of equity style management in the context of Malaysian fund management industry.
出版者	大阪大学経済学会
	オオサカ　ダイガク　ケイザイ　ガッカイ
	The Economic Society of Osaka University
収録物名	大阪大学経済学
収録物名	Osaka Economic Papers
巻(号)	55(3)
ページ	64-82
刊行年月	2005-12
言語	英語
ハンドルURL	https://hdl.handle.net/11094/19687
DOI	https://doi.org/10.18910/19687
PISSN	04734548
NCID	AN00030111
アクセス権	open access
出版タイプ	Version of Record
カテゴリ	本学関連学会 Related Societies
カテゴリ	大阪大学経済学 / 55巻3号 (2005-12)

資源タイプ	学術雑誌論文
ローカル資源タイプ	本学関連学会
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	大阪大学経済学. 2005, 55(3), p. 64-82
DC.title	How Persistent is Equity Style Performance Among Malaysian Fund Managers?
DC.creator	Lau, Wee-Yeap
DC.publisher	大阪大学経済学会
	オオサカ　ダイガク　ケイザイ　ガッカイ
	The Economic Society of Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2005-12
DC.subject	論文
	style analysis
	mutual fund
	equity style
	performance measurement
	persistence of performance
DCTERMS.abstract	The knowledge of equity style of mutual funds has benefited investors by mitigating the issue of asymmetric information between fund managers and investors. However, the investors also need to know whether the equity style performance persists throughout different time periods. In this study, style analysis by Sharpe (1988, 1992) is used to decompose the funds into style and selection components, and reclassify the funds into growth and value styles in order to mitigate the misclassification of fund objectives. Performances are measured by selection return and risk-adjusted return against MSCI style benchmarks and Bursa Malaysia Composite Index (BMCI). The measurement of risk-adjusted return is also extended to the next period in order to investigate the persistence of performance. Our results show that under self-defined fund objectives, there is no persistence of performance either by style or market benchmarks. However, after controlling for equity style effect, there are positive and significant correlation for style alpha and BMCI alpha between period one and two for growth style funds, implying that there is persistence of performance between two periods. This study highlights the importance of equity style management in the context of Malaysian fund management industry.
DC.identifier	10.18910/19687
DC.format	19687
citation_title	How Persistent is Equity Style Performance Among Malaysian Fund Managers?
citation_author	Lau, Wee-Yeap
citation_publisher	大阪大学経済学会
citation_language	英語
citation_date	2005-12
citation_journal_title	大阪大学経済学
citation_volume	55
citation_issue	3
citation_firstpage	64
citation_lastpage	82
citation_public_url	https://hdl.handle.net/11094/19687
citation_doi_detail	10.18910/19687
citation_doi	https://doi.org/10.18910/19687

How Persistent is Equity Style Performance Among Malaysian Fund Managers?

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