WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 16, 2019
Efficiency and Stochastic Dominance in the European Equity Mutual Fund Market
Authors: Pablo Solórzano-Taborga, Ana Belén Alonso-Conde, Javier Rojo-Suárez
Abstract: In order to analyze and assess the behavior of the European equity mutual funds market, we present a method for evaluating and selecting them, using two different approaches, which vary from the conventional measures of performance: Data Envelopment Analysis (DEA) and stochastic dominance. The analysis suggests a strong relation between the results that we obtain with each method. Likewise, we demonstrate that both indicators are highly correlated with the expected returns and that they have a high explanatory power. Additionally, we have included alphas as a right-hand variable and we confirm that they have a strong relation with DEA and stochastic dominance.