Efficiency of mutual fund managers: a slacks-based manager efficiency index

Andreu, Laura (Universidad de Zaragoza) ; Serrano, Miguel ; Vicente, Luis (Universidad de Zaragoza)

Resumen: This paper develops an innovative slacks-based manager efficiency index (SMEI) to evaluate the efficiency of mutual fund managers. First, the SMEI contributes to decisions by evaluating the efficiency of the manager as a whole instead of focusing on individual mutual funds. Second, the SMEI includes socio-demographic variables to extend the mere consideration of financial variables in the model. Third, the SMEI identifies locally efficient but globally inefficient managers. This local SMEI evaluates managers in reference to the ‘best practice’ competitors with similar management characteristics. Finally, this paper includes a real application of the SMEI in a sample of individual managers in the Spanish mutual fund industry. This empirical illustration further examines the persistence of the efficiency scores and the influence of the SMEI variables on the efficiency of individual managers.

Idioma: Inglés

DOI: 10.1016/j.ejor.2018.09.013

Año: 2019

Publicado en: European Journal of Operational Research 273, 3 (2019), 1180-1193
ISSN: 0377-2217

Factor impacto JCR: 4.213 (2019)

Categ. JCR: OPERATIONS RESEARCH & MANAGEMENT SCIENCE rank: 14 / 83 = 0.169 (2019) - Q1 - T1

Factor impacto SCIMAGO: 2.364 - Computer Science (miscellaneous) (Q1) - Modeling and Simulation (Q1) - Management Science and Operations Research (Q1) - Information Systems and Management (Q1)

Financiación: info:eu-repo/grantAgreement/ES/MINECO/ECO2013-45568-R
Financiación: info:eu-repo/grantAgreement/ES/UZ/JIUZ-2016-SOC-01

Tipo y forma: Artículo (PostPrint)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)