The cross section of conditional mutual fund performance in European stock markets
Abstract
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.
Additional Information
© 2013 Elsevier B.V. Received 12 January 2011; Received in revised form 13 June 2012; Accepted 20 August 2012; Available online 24 January 2013. We thank an anonymous referee for extensive comments that greatly improved the paper. We are also grateful to Otto Kober, global head of methodology at Lipper, and Matthew Lemieux, research analyst at Lipper, for generously providing the mutual fund data used in this study. We thank Bernard Delbecque of the European Fund and Asset Management Association (EFAMA) for providing statistics on the number of funds domiciled in Europe with European investment objectives and Alberto Jurij Plazzi for help with the Datastream European stock data. Finally, we thank seminar participants at the Fifth Erasmus Conference on Professional Asset Management in Rotterdam, Fifth Biennial McGill Global Asset Management Conference in Montreal, 2010 American Economic Association annual meeting in Denver, 2009 European Finance Association annual meeting in Bergen (and, especially, the discussants at these conferences, Alessandro Beber and Martijn Cremers), Hebrew University, Tel Aviv University, University of Melbourne, and University of New South Wales for comments on an earlier version of this paper. The views expressed in this paper are solely our responsibility and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System.Attached Files
Supplemental Material - mmc1.pdf
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Additional details
- Eprint ID
- 39114
- DOI
- 10.1016/j.jfineco.2013.01.008
- Resolver ID
- CaltechAUTHORS:20130627-080957608
- Created
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2013-06-28Created from EPrint's datestamp field
- Updated
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2021-11-09Created from EPrint's last_modified field