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 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 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 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 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 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 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 Influences on Mutual Fund Performance written by Belen Riberio-Navarrete and published by . This book was released on 2018 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
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 Performance Comparison of European Exchange Traded Funds ETF and Index Mutual Funds written by Oliver Baumgartner and published by GRIN Verlag. This book was released on 2013-04-09 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1, University of Innsbruck, course: Risikomanagement, language: English, abstract: Nowadays exchange traded funds (ETFs) are getting more and more popular. Many investors believe that their risk-performance profile is better than ordinary index mutual funds. This seminar paper focuses on the real returns of both asset classes. It is based on a scientific paper written by Sharifzadeh et. al.(2012). The authors compared ETFs and index mutual funds which had quite the same composition. Additionally, they tested the risk-return profile of both, using the sharpe ratio. Interestingly, they found out that ETFs could not outperform index mutual funds and vice versa.
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 Hedge Fund Regulation in the European Union written by Phoebus Athanassiou and published by Kluwer Law International B.V.. This book was released on 2009-04-14 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: While hedge funds have been part and parcel of the global asset management landscape for well over fifty years, it is only relatively recently that they came to prominence as one of the fastest growing and most vigorous sub-sectors of the financial services industry. Despite their growing significance for global and European financial markets, hedge funds continue enjoying a sui generis regulatory status. The ongoing credit crisis and its lessons for the wisdom of unregulated or loosely regulated pockets of financial activity raise, with renewed urgency, the issue of deciding how long for the relative regulatory immunity of hedge funds is to be tolerated in the name of financial innovation. This well-thought-out book, the first of its kind in this particular field, examines the case for the European onshore hedge fund industry’s regulation, making concrete proposals for its normative future. Following a detailed account of the ‘established’ regulatory systems in Ireland and Luxembourg, as well as of the ‘emerging’ hedge fund jurisdictions in Italy, France, Spain and Germany, and of the regulatory treatment of hedge funds in the UK, this book examines to what extent the continuing exclusion of hedge funds from harmonized European regulation is defensible, whether their differences to traditional asset management products justify their distinct regulatory treatment and, ultimately, if their EU-wide regulation is possible and, if so, what form this should take. This book offers enormously valuable insights into all facets of the subject of the regulation of hedge funds, including: the legitimacy of the public policy interest in their activities; the conceptual underpinnings and systemic stability emphasis of a realistic hedge fund regulatory scheme; the main parameters of a workable onshore hedge fund regulatory framework; the role of investor protection and market integrity as part of a holistic hedge fund regulatory scheme; the possible use of the UCITS framework as a foundation for the EU-wide regulation of hedge funds; the MiFID’s impact on the regulatory future of the European hedge fund industry; existing cross-jurisdictional differences and similarities in the normative treatment of hedge funds within the EU; hitherto initiatives and recommendations of the Community institutions and bodies; and the need for more efficient co-operation and information-sharing arrangements amongst national supervisors for the monitoring of the cross-border risks inherent in the activities of hedge funds. As the first ever comprehensive account of the profile, main features and normative future of the contemporary global and European hedge fund markets – including a systematic inquiry into the conceptual underpinnings of hedge fund regulation and a detailed examination of the European hedge fund industry’s treatment under Community and domestic law – this book represents a major contribution to the literature on hedge funds and their regulation which, through its concrete proposals for the onshore industry’s regulation and its clear analysis of the conditions necessary for their implementation, should be of extraordinary value to policymakers, supervisors and academics alike.
Download or read book Going green written by European Investment Bank and published by European Investment Bank. This book was released on 2020-07-02 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investments in energy efficiency improvements are vital to ensure Europe's future as a sustainable, yet prosperous economy. Amid the COVID-19 crisis, however, there is a great risk of losing sight of the benefits of energy efficiency investments by European firms. The EIB Investment Survey (EIBIS) provides a unique source of data that highlights how more investment in energy efficiency is needed. This report examines the quality of firms' building stock, their spending on energy efficiency measures and the factors that influence their decisions regarding that investment. It highlights that both high-quality information and advanced management practices make a crucial difference in the likelihood of investment in energy efficiency. The regulatory framework needs to be supportive, yet also push for higher energy building performance standards, while financing conditions should facilitate timely investment by firms to realise the enormous gains that can be achieved through energy efficiency improvements.
