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Author: Rogér Otten Publisher: ISBN: Category : Languages : en Pages : 42
Book Description
This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the 5 most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition we investigate whether European fund managers exhibit quot;hot handsquot;, persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, 4 out of 5 countries exhibit significant out-performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the United Kingdom. Our results deviate from most US studies that argue mutual funds under-perform the market by the amount of expenses they charge.
Author: Rogér Otten Publisher: ISBN: Category : Languages : en Pages : 42
Book Description
This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the 5 most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition we investigate whether European fund managers exhibit quot;hot handsquot;, persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, 4 out of 5 countries exhibit significant out-performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the United Kingdom. Our results deviate from most US studies that argue mutual funds under-perform the market by the amount of expenses they charge.
Author: G. Gregoriou Publisher: Springer ISBN: 0230626491 Category : Business & Economics Languages : en Pages : 279
Book Description
This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.
Author: Javier Vidal-García Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In this article, we examine the short-term persistence in mutual fund performance in Europe between 1990 and 2015. Using a sample of daily survivorship bias-free data on the five most important European mutual fund countries, we find statistically significant persistence in the post-ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top-decile and bottom-decile mutual funds.
Author: Frank de Jong Publisher: ISBN: Category : Languages : en Pages : 14
Book Description
This study investigates the influence of fund management firm characteristics on mutual fund performance. Using a sample of European-domiciled open-end equity funds for the period 1998-2008, this study finds that the funds of private companies have performed better than the funds of public companies. The degree of focus, the volume of assets under management, and the number of funds offered by a fund management firm also have a positive impact on fund performance. In addition to these four firm characteristics, we find that non-European and U.K. fund managers had better-performing funds.
Author: Rogér Otten Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
In this study we analyze the development and performance of the European mutual fund industry and compare it with the industry in the United States, using the traditional structure-conduct-performance (SCP) paradigm. We find that Europe is still lagging the American mutual fund industry when it comes to total asset size, average fund size, and market importance. Furthermore, it appears that a few large domestic fund groups dominate the mutual fund markets in the individual European countries. The performance of domestic equity funds is tested using a data set containing the main European countries and the United States. The most striking results of these performance tests are the relative poor performance of U.S. funds, compared to the European funds, and the out-performance of small cap mutual funds.
Author: Marta Vidal Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In this paper, we evaluate the market efficiency of the European mutual fund industry using daily mutual fund returns. With a unique sample of domestic equity funds for 17 European countries over a 30-year time period, we use several performance measures and non-parametric evaluation to reach the conclusion that mutual funds are not able to exceed profitability obtained by the risk-free asset or the reference market index in most countries, although funds are highly efficient in all cases. Using non-parametric Data Envelopment Analysis (DEA) we find evidence of high cost efficiency across countries. This high efficiency slightly decreases during the sample period, although still maintaining efficiency of over 60% for all countries after 30 years.
Author: Javier Vidal-García Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In this study we examine the European mutual fund market for the 1990-2021 period through the two parties involved in it: the investor and the fund manager. On the one hand, we determine the relevant factors of the decision to invest based on the modeling of asset flows. In the demand function, past returns and volatility are important indicators for the investor that select funds taking also into account the commissions applied. On the other hand, we identify the variables that determine the return obtained by European mutual funds. The persistence of results, the positive relationship between profitability and risk, the existence of a negative size effect together with the ineffective management of mutual funds due to the weight of commissions are some of the derived conclusions.
Author: Andrew Clare Publisher: ISBN: Category : Languages : en Pages : 22
Book Description
Using a large and long sample of US and European mutual funds we examine the impact that the membership of a fund family has on performance. We test for strategic and competitive behaviour among family funds and whether this affects performance persistence and risk taking behaviour. We find no conclusive evidence of stronger performance persistence among family funds versus non-family funds, although we do find some significant differences in the future performance of portfolios of family and non-family funds formed on the basis of past performance. However, we do provide strong evidence to suggest that a fund's mid-year ranking within its family affects its risk over the remainder of the year and, most interestingly, that family mid-year rankings have a different impact in the US mutual fund industry than it does in its European equivalent. Among US funds, the results point to intra-family competition where mid-year losers increase risk by more than mid-year winners in an attempt to catch up. The opposite is found to be true for European family funds. Our results therefore highlight significant differences in the ways in which the US and European fund management industries operate.
Author: Gbenga Ibikunle Publisher: ISBN: Category : Languages : en Pages : 51
Book Description
We conduct the first comparative analysis of the financial performance of European green, black (fossil energy and natural resource) and conventional mutual funds. Based on a unique dataset of 175 green, 259 black and 976 conventional mutual funds, the investigation contrasts the financial performance of the three dissimilar investment orientations over the 1991-2014 period. Over the full sample period, green mutual funds significantly underperform relative to conventional funds, while no significant risk-adjusted performance differences between green and black mutual funds could be established during the same period. Environmentally friendly investment vehicles display a significant exposure to small cap and growth stocks, while black funds are more exposed to value stocks. Remarkably, the green funds' risk-adjusted return profile progressively improves over time until no difference in the performance of the green and the conventional classes could be discerned. Further evidence suggests that the green funds are beginning to significantly outperform their black peers, especially over the 2012-2014 investment window.
Author: Rogér Otten
Author: Rogér Otten
Author: G. Gregoriou
Author: Javier Vidal-García
Author: Frank de Jong
Author: Rogér Otten
Author: Marta Vidal
Author: Javier Vidal-García
Author: Kadri Haldre
Author: Andrew Clare
Author: Gbenga Ibikunle