Download or read book European Mutual Fund Performance written by Rogér Otten and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Performance of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Comparison of Short Term Persistence of Mutual Fund Performance in Europe written by Javier Vidal-García and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Comparison between the European and the U S Mutual Fund Industry written by Rogér Otten and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Mutual Fund Efficiency in Europe written by Marta Vidal and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Performance and Asset Size in the European Mutual Fund Market written by Javier Vidal-García and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Do Firm Characteristics Influence Mutual Fund Performance An Empirical Study for European Mutual Funds written by Frank de Jong and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Mutual Fund Performance written by Kadri Haldre and published by . This book was released on 2006 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Family Status and Mutual Fund Performance written by Andrew Clare and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Costly Information Diversification and International Mutual Fund Performance written by Stefan Engstrom and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Active portfolio management is associated with a costly search for information. This paper provides evidence on how this costly search affects the performance of European-based mutual funds that are actively managed and invest in Asia and Europe. The paper examines both the search for superior stocks by fund managers and the search by unit-linked funds for superior fund managers. Moreover, performance and the impact of geographical distance between the fund and the market are examined.
Download or read book European Green Mutual Fund Performance written by Gbenga Ibikunle and published by . This book was released on 2018 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Do Liquidity and Idiosyncratic Risk Matter written by Javier Vidal-García and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the interaction of idiosyncratic risk, liquidity and return across time in determining fund performance, as well as across investment style portfolios of European mutual funds. This study utilizes a unique data set including returns for equity mutual funds registered in six European countries. Overall, using monthly data, we find that both liquidity and idiosyncratic risk are relevant in determining mutual fund returns. Our results are robust across different model specifications. We show that model specifications up to six factors are useful, these risk factors capture different aspects in the cross-section of mutual funds returns. The evidence regarding mutual funds subgroups is strongly in favor of the significance of liquidity, and idiosyncratic risk to a lesser extent, as risk factors. Even if liquidity and idiosyncratic risk are considered at the same time, one factor is not significantly decreasing the importance of the other factor.
Download or read book The Impact of UCITS IV Directive on European Mutual Funds Performance written by Khim Veasna and published by . This book was released on 2016 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the impact of UCITS IV Directive on the performance of European mutual funds. In a sample of 1435 Equity funds from December 2001 to December 2013, we empirically investigate the effects of economies of scale on the relation between size and performance. Using Chen et al. (2004) portfolio approach with various benchmark factors models, we find significant performance improvements according to UCITS IV periods. Using panel regressions with multilevel models, we find that European funds seem to benefit from gains related to size and not face to diseconomies of scale. Nonetheless, some specific characteristics of European fund family structure burden performance. Despite the intention from regulators to provide costless and favorable environment, European fund families are highly diversified and constituted by large number of low-sized members to achieve overall positive spillover effects.
Download or read book Performance Persistence written by Andreas Grünbichler and published by . This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book European Mutual Funds written by Noyes Data Corporation and published by . This book was released on 1973 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Invest in Europe Now written by David R. Kotok and published by John Wiley & Sons. This book was released on 2010-03-02 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: An insider's guide to investing in Europe With the U.S. market in shambles, investors are looking for other places to put their money. Europe has become the destination of choice, and will continue to be for the foreseeable future. Using the different perspectives of an author who lives in Europe and an author who lives in the United States, Invest in Europe Now! is one the most informative guides to making money outside North America. It outlines the best ways to take advantage of the rapidly shifting global financial environment and shows you what indicators to follow, what instruments and markets are best poised for growth, and how to avoid various pitfalls along the way. Outlines the safest ways to invest in Europe and secure the returns you desire Written by a unique author team, which represent both the U.S. and European perspective Discusses how some European markets and stocks are relatively more attractive than their American counterparts Throughout this book, David Kotok and Vincenzo Sciaretta reveal the realities of investing in Europe and how you can benefit from doing so.
Download or read book Dynamics of Cross Border Flow Performance Relationships written by Simon Weiler and published by Springer. This book was released on 2014-11-19 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to measure the dynamics of flow-performance relationships for a multi-domicile sample, Simon Weiler applies existing flow-performance research methods to a broad set of European equity (UCITS) funds and proves that major findings (performance-chasing behaviour and a convex flow-performance relationship) also hold true in a cross-border market environment.
