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

Ayelen Banegas, Ben Gillen, Allan Timmermann and Russell Wermers ()

No 09-03 [rev.], CFR Working Papers from University of Cologne, Centre for Financial Research (CFR)

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 countryspecific 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%/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.

Keywords: European equity markets; mutual fund performance; time-varying investment opportunities (search for similar items in EconPapers)
JEL-codes: G11 G15 G23 (search for similar items in EconPapers)
Date: 2012
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Journal Article: The cross section of conditional mutual fund performance in European stock markets (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfrwps:0903r

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