The asymmetric performance of industry concentrated funds

Dimitrios Kousenidis (), Lazaridou Eirini and Papapanagiotou Trifon

The Journal of Economic Asymmetries, 2019, vol. 20, issue C

Abstract: In the present paper we study whether active management investment strategies lead to fund managers' investing and informational advantages as tend to rely on industry-concentrated portfolios. The methodology includes the analysis of the unconditional performance measures adjusted for different risk factors and fund characteristics. The hypothesis of testing statistical differences on the performance of concentrated and diversified Greek Capital Market fund portfolios has led to the estimation of Carhart (1997) and Fama and French (2010) models. In order to examine the market timing and stock picking fund managers’ skills, the Asymmetric Response Model (ARM) is estimated under the adjustment of Fama and French (2010) factors (Kousenidis and Negakis, 2013). Finally, our results are classified into tercile regimes and we test for abnormal performance persistence in tercile and Sectors level.

Keywords: Investment strategies; Equity funds; Performance measures; Fund concentration (search for similar items in EconPapers)
JEL-codes: G11 G12 G21 G23 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300635

DOI: 10.1016/j.jeca.2019.e00124

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