Do bank-affiliated funds perform better than the others: the higher moment approach

In this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical testing model to match the environment of the high-volatility and high-reward market - the emerging market. Specifically, we introduce co-skewness as an additional important risk factor in this study. Therefore, our model specification matches the non-normality of return distribution in the market. Furthermore, according to the information advantage hypothesis, we provide evidence of the superior market timing ability of the high-performance bank-related fund.