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The cross-section of conditional mutual fund performance in European stock markets

Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; … - 2012 - This version: 12 June 2012

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 countryspecific mutual funds provide...

Persistent link: https://www.econbiz.de/10009705491

Implied cost of capital and mutual fund performance

Hendriock, Mario - 2020

a ICC-basedstrategy reflecting skill, family-level trading efficiency and manager-level SAT scorepositively correlate …

Persistent link: https://www.econbiz.de/10012387256

Birth order and fund manager's trading behavior : role of sibling rivalry

Agarwal, Vikas; Cochardt, Alexander Elmar; Orlov, Vitaly - 2022

This paper investigates the role of birth order on managerial behavior using rich data on familial background of US mutual fund managers. We find that managers who are born later in the sibling hierarchy take on more investment risks relative to first-born managers, but perform worse. Motivated...

Persistent link: https://www.econbiz.de/10013466616

Endogenous benchmarks

Hunter, David L.; Kandel, Eugene; Kandel, Shmuel; … - 2010

This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their...

Persistent link: https://www.econbiz.de/10008666531

Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

fund families show higher sales and redemption rates. Further family size also affects the flow-performance relationship …: Investors in large families punish bad performance more. Last, we find that inner family rankings play an important part for … redemptions, with investors strongly redeeming their shares from intra-family losers. -- Mutual Funds ; Fund Family ; Flow …

Persistent link: https://www.econbiz.de/10008666514

Tournaments in mutual fund families

Kempf, Alexander; Ruenzi, Stefan - 2004

position within their fund family. The direction of the adjustment crucially hinges on the competitive situation within a … family. Funds from small families behave in the opposite way than funds from large families. The results are very robust …

Persistent link: https://www.econbiz.de/10009524829

Market power in the portfolio : product market competition and mutual fund performance

Jaspersen, Stefan - 2016 - This draft: September 2016

I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...

Persistent link: https://www.econbiz.de/10011539240

Speed of information diffusion within fund families

Cici, Gjergji; Jaspersen, Stefan; Kempf, Alexander - 2015 - This Draft: July 2015

We document that the speed of information dissemination within mutual fund families positively affects the performance of member funds. This suggests that the resulting benefits of higher information precision far outweigh free-riding costs associated with fast internal dissemination. The...

Persistent link: https://www.econbiz.de/10011296785

Screening discrimination in financial markets : evidence from CEO-fund manager dyads

Jaspersen, Stefan; Limbach, Peter - 2020 - This draft: March 2020

This study provides evidence that investors' demographic similarity to CEOs facilitates informed trading after accounting for selective distribution of information. Mutual fund managers overweight firms whose CEOs resemble them in terms of age, ethnicity, and gender. Significantly higher trade...

Persistent link: https://www.econbiz.de/10012171464