تاثیر استانداردهای گزارشگری مالی بین المللی بر عملکرد صندوق The impact of international financial reporting standards on fund performance

1. Introduction Some studies consider the assessment of performance in mutual funds as a test of the Efficient Market Hypothesis (EMH), which assumes that all information is already included in the prices of assets and that investors cannot beat the market or generate abnormal returns (Fama, 1970). Therefore, finding evidence of performance persistence would suggest that the market is not semi-strong efficient. On the other hand, any evidence of no persistence in fund performance would support the EMH and suggest that the abnormal returns generated by fund managers are because of luck and not to skill (Fama, 1970). Some studies (Treynor and Mazuy, 1966; Jensen, 1968; Elton et al., 1996; Phelps and Detzel, 1997; Henriksson, 1984) find no evidence of persistence in abnormal fund returns over various periods. This implies that past performance do not predict future performance. On the other hand, studies by Grossman and Stiglitz (1980) and Hendricks et al. (1993) find evidence of persistence of fund performance, suggesting that fund managers have the ability to generate abnormal returns. Though Angelidis et al. (2013) observe that mutual fund managers are evaluated against the benchmark stated in the fund’s prospectus, their performance is guided by the nature of that benchmark. Some other studies such as Goetzmann and Ibbotson (1994), Grinblatt et al. (1995), Gruber (1996), Carhart (1997), Daniel et al. (1997) and Wermers (2000) find persistence of performance over short periods of time. Good performance can at least partly be attributed to managerial skill, though on average funds generate negative abnormal returns. Others have examined whether companies that use local research offices show superior investment performance than others (Hung, 2001). However, Carhart (1997) shows that persistence of fund performance among top performers disappears and remains only in low performers, where it probably arises from high transaction expenses. This is because fund performance is more strongly affected by the fund manager’s ability to minimize downside losses rather than selecting outperforming portfolio particularly in buyouts rather than venture capitals (Buchner et al., 2016). Most of the aforementioned studies, however, focus on open-end funds (Berk and Green, 2004; Bangassa et al., 2012), and only a few studies evaluate the performance or persistence of closed-end funds which differ from open-end funds. Few studies have examined the performance and persistence of closed-end funds in the UK, particularly the performance of UK investment trusts. Bal and Leger (1996); Leger (1997); Hooper et al. (2006); Allen and Tan (1999) and Bangassa et al. (2012) present various findings on the persistence in performance of UK closed-end funds. Our study extends the literature on closed-end funds, particularly UK investment trusts by investigating the performance of UK closed-end funds over the more recent period from 1997 to 2014. Unlike open-end funds, closed-end funds sell a fixed amount of shares; thus, managers of closed-end funds do not have to deal with unexpected fund inflows in a period with few investment opportunities. As there are significant differences between opened and closed ends funds, and with differing implications for investors, results of previous studies on the open-end fund industry cannot be applied to the closed-end fund industry.