کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960123 929412 2013 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The cross section of conditional mutual fund performance in European stock markets
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
The cross section of conditional mutual fund performance in European stock markets
چکیده انگلیسی

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance and that country-specific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specifically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas of 12–13% per year over the 1993–2008 period. Our study provides new evidence on the skills of local versus Pan-European asset managers, as well as how macroeconomic information can be used to locate and time these local fund manager skills.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 108, Issue 3, June 2013, Pages 699–726
نویسندگان
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