This paper revisits the performance of European mutual funds using a more recent and extensive survivorship bias free database of 16,055 equity funds over the 1992-2006 period. Earlier evidence by Otten & Bams (2002) pointed to an exceptional position of European mutual funds. In sharp contrast...

This paper provides evidence on the performance of mutual funds in a prominent emerging market; Poland. Studying an emerging market provides an excellent opportunity to test whether the consensus on the inability of mutual funds in developed and highly efficient markets to beat the market, also...

Standard benchmarks that build exclusively on the size, value, and momentum effects can be problematic for evaluating mutual funds. Motivated by investment-based asset pricing, I show that investment and profitability convey useful information about future fund returns. However, such information...

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that correlated redemptions will destabilize the corporate bond market. However, estimating regressions that focus within issuer-quarter, I find little evidence that redemptions or...

When assessing a fund manager's skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed...

The use of commodities to hedge inflation risk and diversify portfolios is generally considered to be an important consideration for portfolio management. Direct investment in commodities or commodity derivatives requires that investors have significant assets and/or expertise in these...

We provide a solid framework in analyzing of what drives mutual fund performance in Chinese mutual fund industry, and show that fund performance is determined not only by efforts of fund manager, but also by fund investor behavior. Our empirical evidence shows that the total purchase and...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term...