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Received: 2003-04-30

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Journal of Zhejiang University SCIENCE A 2004 Vol.5 No.5 P.533-538

http://doi.org/10.1631/jzus.2004.0533


Empirical study on mutual fund objective classification


Author(s):  JIN Xue-jun, YANG Xiao-lan

Affiliation(s):  College of Economics, Zhejiang University, Hangzhou 310027, China

Corresponding email(s):   cec_jxj@zju.edu.cn

Key Words:  Mutual funds classification, Distance analysis, Discriminant analysis


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JIN Xue-jun, YANG Xiao-lan. Empirical study on mutual fund objective classification[J]. Journal of Zhejiang University Science A, 2004, 5(5): 533-538.

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Abstract: 
Mutual funds are usually classified on the basis of their objectives. If the activities of mutual funds are consistent with their stated objectives, investors may look at the latter as signals of their risks and incomes. This work analyzes mutual fund objective classification in China by statistical methods of distance analysis and discriminant analysis; and examines whether the stated investment objectives of mutual funds adequately represent their attributes to investors. That is, if mutual funds adhere to their stated objectives, attributes must be heterogeneous between investment objective groups and homogeneous within them. Our conclusion is to some degree, the group of optimized exponential funds is heterogeneous to other groups. As a whole, there exist no significant differences between different objective groups; and 50% of mutual funds are not consistent with their objective groups.

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Reference

[1] Brown, S.J., Goetzmann, W.N., 1997. Mutual fund styles.Journal of Financial Economics,43(3):373-399.

[2] diBartolomeo, D., Witkowski, E., 1997. Mutual fund misclassification: evidence based on style analysis.Financial Analysts Journal,53(5):32-43.

[3] Kim, M., Shukla, R., Tomas, M., 2000. Mutual fund objective misclassification.Journal of Economics and Business,52:209-203.

[4] Najand, M., Prather, L.J., 1999. The risk level discriminatory power of mutual fund investment objectives: additional evidence.Journal of Financial Markets,2:307-328.

[5] Sharpe, W.F., 1966. Mutual fund performance.Journal of Business,39:119-138.

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