Cross-sectional regression results
| Model 1 | Model 2 | Model 3 | Model 4 | |
|---|---|---|---|---|
| Constant | 0.0091 (0.21) | −0.0660 (−1.11) | 0.0927 (3.88)*** | −0.0251 (−0.39) |
| Age | 4.8035 (2.00**) | 5.9523 (2.41**) | – | 6.7824 (2.43**) |
| Net Asset | 0.0166 (3.31***) | 0.0148 (3.59***) | – | 0.0161 (3.38***) |
| Turnover | 0.0311 (1.72*) | 0.0653 (3.98***) | – | 0.0572 (3.52***) |
| Tenure | 0.0235 (2.78**) | 0.0235 (2.82**) | – | 0.0203 (2.34**) |
| Load | 0.1054 (3.12***) | 0.0624 (2.07**) | – | 0.0467 (1.44) |
| Redemp | 0.0174 (2.32**) | 0.0084 (1.03) | – | 0.0072 (0.88) |
| Expense ratio | −0.0785 (−2.99***) | −0.0503 (−2.18**) | – | −0.0337 (−1.26) |
| PE ratio | – | −0.0057 (−2.04**) | – | −0.0067 (2.36**) |
| PB ratio | – | 0.0571 (4.52***) | – | 0.0466 (4.00***) |
| PosScreen | – | – | – | – |
| NegScreen | 0.0194 (0.97) | 0.0655 (1.86*) | 0.0156 (0.84) | |
| MixScreen | −0.0194 (−1.46) | 0.0182 (0.89) | −0.0144 (1.03) | |
| Equity | – | – | – | – |
| Balanced | – | – | – | −0.0097 (−0.74) |
| Fixed Income | – | – | – | −0.0540 (−1.45) |
| Global | – | – | – | −0.0496 (−1.88*) |
| Institutional | – | – | – | −0.0193 (−1.02) |
| R2 | 0.3543 | 0.3451 | 0.0733 | 0.4971 |
| Adj R2 | 0.3187 | 0.2998 | 0.592 | 0.4337 |
| F-statistic | 9.95*** | 7.61*** | 5.22*** | 7.84*** |
| Model 1 | Model 2 | Model 3 | Model 4 | |
|---|---|---|---|---|
| Constant | 0.0091 (0.21) | −0.0660 (−1.11) | 0.0927 (3.88)*** | −0.0251 (−0.39) |
| Age | 4.8035 (2.00**) | 5.9523 (2.41**) | – | 6.7824 (2.43**) |
| Net Asset | 0.0166 (3.31***) | 0.0148 (3.59***) | – | 0.0161 (3.38***) |
| Turnover | 0.0311 (1.72*) | 0.0653 (3.98***) | – | 0.0572 (3.52***) |
| Tenure | 0.0235 (2.78**) | 0.0235 (2.82**) | – | 0.0203 (2.34**) |
| Load | 0.1054 (3.12***) | 0.0624 (2.07**) | – | 0.0467 (1.44) |
| Redemp | 0.0174 (2.32**) | 0.0084 (1.03) | – | 0.0072 (0.88) |
| Expense ratio | −0.0785 (−2.99***) | −0.0503 (−2.18**) | – | −0.0337 (−1.26) |
| PE ratio | – | −0.0057 (−2.04**) | – | −0.0067 (2.36**) |
| PB ratio | – | 0.0571 (4.52***) | – | 0.0466 (4.00***) |
| PosScreen | – | – | – | – |
| NegScreen | 0.0194 (0.97) | 0.0655 (1.86*) | 0.0156 (0.84) | |
| MixScreen | −0.0194 (−1.46) | 0.0182 (0.89) | −0.0144 (1.03) | |
| Equity | – | – | – | – |
| Balanced | – | – | – | −0.0097 (−0.74) |
| Fixed Income | – | – | – | −0.0540 (−1.45) |
| Global | – | – | – | −0.0496 (−1.88*) |
| Institutional | – | – | – | −0.0193 (−1.02) |
| 0.3543 | 0.3451 | 0.0733 | 0.4971 | |
| Adj | 0.3187 | 0.2998 | 0.592 | 0.4337 |
| 9.95*** | 7.61*** | 5.22*** | 7.84*** |
Notes: This table reports the cross-sectional regression results. We use the Sharpe ratio as the dependent variable. Independent variables include fund related variables, market variables, screening types and fund sub-group dummy variables. *,**,***Show statistical significant at 10, 5 and 1 percent levels, respectively
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