MUTUAL FUND PERFORMANCE WITH RESPECT TO THE FAMA FRENCH AND CAPITAL ASSET PRICING MODELS

Open Access
Author:
Hober, Matthew
Area of Honors:
Finance
Degree:
Bachelor of Science
Document Type:
Thesis
Thesis Supervisors:
  • James Alan Miles, Thesis Supervisor
  • Jingzhi Huang, Faculty Reader
  • James Alan Miles, Honors Advisor
Keywords:
  • mutual fund performance
  • mutual funds
  • fama french
  • fama-french
  • capm
  • persistence
Abstract:
This thesis applies the capital asset pricing model (CAPM) and the Fama-French three-factor model (1992) to examine the performance of equity mutual funds over a ten year period, from 2000-2009. The results are largely consistent with recent empirical studies and efficient markets theory demonstrating that there is little evidence to suggest that skilled mutual fund managers exist. The majority of mutual fund returns can be explained by common risk factors and expenses, and it does not appear that any particular manager can generate consistently superior returns.