On understanding mutual fund terminations

Qiang Bu, Nelson Lacey

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

We examine the determinants of US mutual fund terminations and provide estimates of mutual fund hazard functions. We find that mutual fund termination correlates with a variety of fund specific variables as well as with market variables such as the S&P 500 index and the short-term interest rate. We also test the underlying assumptions of the semi-parametric Cox model and reject proportionality, thus calling to question the use of this model in forming estimates of mutual fund hazard functions. We find that different fund categories exhibit distinct hazard functions depending on the fund's investment objectives.

Original languageEnglish (US)
Pages (from-to)80-99
Number of pages20
JournalJournal of Economics and Finance
Volume33
Issue number1
DOIs
StatePublished - Jan 1 2009

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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