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
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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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
Journal: Journal of Financial Economics - Volume 108, Issue 3, June 2013, Pages 699–726
نویسندگان
Ayelen Banegas, Ben Gillen, Allan Timmermann, Russ Wermers,