This empirical paper will compare the result by running Costa and Jakob's models (2010) using mutual funds in Asia Pacific market excluding Japan. Costa and Jakob's paper, Enhanced Performance Measurement of Mutual Funds: Running the Benchmark Index through the Hurdles, is highly related to this empirical paper and is generally based on Carhart's four-factor model (Carhart, 1997) with US securities market data. Apart from the comparison between Asia Pacific market excluding Japan and US market, further research on auxiliary and heteroscedasticity will also be conducted.
Li, J. (2017). The study of enhanced performance measurement of mutual funds in Asia Pacific Market. Lingnan Journal of Banking, Finance and Economics, 6. Retrieved from http://commons.ln.edu.hk/ljbfe/vol6/iss1/1