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Risk and Return: An Unorthodox Relationship in the Thai Equity Mutual Fund Industry |
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| รหัสดีโอไอ | |
| Creator | Suchaya Siamwalla |
| Title | Risk and Return: An Unorthodox Relationship in the Thai Equity Mutual Fund Industry |
| Publisher | AJMI |
| Publication Year | 2559 |
| Journal Title | ASEAN Journal of Management and Innovation |
| Journal Vol. | 3 |
| Journal No. | 1 |
| Page no. | 85-101 |
| Keyword | Mutual Fund Performance, Bowman Paradox, Negative correlation, Risk and Return, Portfolio Management |
| ISSN | 2351-0307 |
| Abstract | In 1980, Bowman documented the Bowman Paradox, a negative relationship between risk and return of 85 U.S. industries, a contradiction to the high risk-high return doctrine. Examining the open-end equity mutual funds in Thailand, this study documented the negative relationship between risk and return in the industry from time to time during 2003-2012. The study further examined the factors that will affect the probability that a fund will deliver an outstanding low risk-high return performance using unbalanced panel logistic regression on a binary dependent variable. The results showed that funds with high non-systematic risk, also called idiosyncratic risk, and/or older funds were more likely to deliver a low-risk high return performance and the company who managed a high number of funds was less likely to deliver such performance. This study also proposed a new performance evaluation tool called the Risk-Return Ranking Matrix. This matrix suggested funds with outstanding low risk-high return past performance |
