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Mutual Fund Management Fees and Returns: A Stochastic Dominance Analysis
Naveen Jindal School of Management, University of Texas at Dallas, Richardson, USA
- 1 Naveen Jindal School of Management, University of Texas at Dallas, Richardson, USA
Theoretical Economics Letters·Volume 13 (2023)·Pages 1492–1500·Published 13 November 2023·DOI10.4236/tel.2023.136084
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Abstract
Using stochastic dominance approach of Lim, Maasouimi, and Martin (2006) and Linton, Maasoumi, and Whang (2005) , I find that mutual funds with low management fees, regardless of the growth or value strategy they follow, stochastically dominate the S&P500 index. High fee funds, on the other hand, fail to stochastically dominate the S&P500 index. Collectively, these results suggest that the historical performance of mutual fund managers may not entirely align with the higher fees they typically charge.
KeywordsStochastic DominanceMutual Fund Performance
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