کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960628 929517 2006 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Investing in mutual funds when returns are predictable
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Investing in mutual funds when returns are predictable
چکیده انگلیسی

This paper forms investment strategies in US domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk loadings, and (iii) benchmark returns. We find predictability in manager skills to be the dominant source of investment profitability—long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2 to 4%/year by timing industries over the business cycle, and by an additional 3 to 6%/year by choosing funds that outperform their industry benchmarks. Our findings indicate that active management adds significant value, and that industries are important in locating outperforming mutual funds.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 81, Issue 2, August 2006, Pages 339–377
نویسندگان
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