This paper examines the relationship between seasonality, idiosyncratic risk and mutual fund returns using multifactor models. We use a large sample containing the return histories of 728 UK mutual funds over a 23-year period to measure fund performance. We present evidence that idiosyncratic...

In the financial research, it has always been a constant the discussion about the efficiency of financial markets and its implications in the performance evaluation. In this paper we continue this line of research by analyzing the weekend and holiday effect on the performance and volatility of...

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,...

In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles, a fundamental aspect in the efficient management of an investment portfolio. We also analyze the skills of these managers to...

This paper analyzes the performance of stocks listed on the London Stock Exchanges to determine whether there is a size effect. The hypothesis being examined is whether the smaller stocks obtain higher returns than the large ones even after adjusting for risk. The study period is from 1990 to...

We examine the relation between short-term mutual fund performance and fund size around the world. Using a large sample of worldwide equity funds we show that small funds outperform large funds, suggesting diseconomies of scale for the mutual fund industry across countries. We find that fund...

This paper examines the use of private information by mutual funds with unconditional and conditional performance models. Using daily data for 35 countries over the 1990-2015 period, we find evidence that the use of conditioning information provides a more accurate estimation of fund...

There is no overall consensus about which measure is the most suitable for evaluating portfolios' performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation. Thus, the other measures...

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...

We examine the relation between the performance of mutual funds and their effectiveness in disciplining underperforming funds and safeguard shareholder interest. Mutual fund boards have a clear mandate under federal securities law to monitor potential conflicts of interest, approve fund...