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

• 成果类型: Article
• 署名作者: Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; Wermers, Russ
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; California Institute of Technology; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.01.008
• 发表日期: 2013
• 页码: 699-726
• 关键词: European equity markets; mutual fund performance; Time-varying investment opportunities

摘要

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 country-specific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specifically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas of 12-13% per year over the 1993-2008 period. Our study provides new evidence on the skills of local versus Pan-European asset managers, as well as how macroeconomic information can be used to locate and time these local fund manager skills. (C) 2013 Elsevier B.V. All rights reserved.