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Survivorship Bias in the Norwegian Mutual Fund Market: Impact, Causes and Methodical Differences

Solbakken, Mikkel; Larsen, Ole Martin
Master thesis
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2040889.pdf (1.909Mb)
Preliminary thesis.pdf (1.912Mb)
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http://hdl.handle.net/11250/2579781
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1116]
Sammendrag
This paper systematically accounts for the survivorship bias in the Norwegian

mutual fund market and the impact of its existence. Survivorship bias has been

researched in-depth in the US market and other large economies, however it

remains a relatively unexplored topic in smaller economies such as Norway.

Although research on survivorship bias can be found in the literature, most

research addresses the survivorship bias as a sub-category. The paper contributes

to previous research with a newly constructed dataset of Norwegian equity

mutual funds from 1997 until 2017. We measure the survivorship bias using

different methodical approaches, and show that different combinations of

methods yield different result. Additionally, we analyse the relationship between

performance, size and disappearance. Overall, the evidence points to a

substantial survivorship bias in the Norwegian mutual fund market regardless of

method applied. In general, we find the relationship between fund size and

performance to be positive, however, in some cases the smallest fund group

outperform larger funds. The disappearance rate of funds increases with

decreasing fund size and is accelerating.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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