Abstract
In this critique of Kochman and Badarinathi's study (1993) of net selectivity, mutual funds are not found to have a return distribution exhibiting limited semivariance when monthly return data are used. Several funds are overrated, however, in the sense that they have negative semivariance-adjusted excess returns, despite having positive beta-adjusted excess returns. Similar results are obtained using the Standard and Poor's 500 Index, which was employed by Kochman and Badarinathi, and the Wilshire 5000.
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Krueger, T.M., Callaway, R.E. Net selectivity revisited: An extension. J Econ Finan 18, 193–204 (1994). https://doi.org/10.1007/BF02920522
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DOI: https://doi.org/10.1007/BF02920522