This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...

Using a proprietary dataset of daily mutual fund trades, we document strong evidence of manager skills in the Finnish market for both buys and sells. We find that manager's risk-adjusted outperformance lasts up to five days. Additionally, we find that the capital-weighted average of trade...

This paper evaluates fund managers’ trading skills using a novel dataset of daily mutual fund transactions. We document strong evidence of short term trading performance for both buys and sells lasting up to one month. By establishing a link between a fund’s trades, holdings, and reported...