Mutual Fund Return Predictability in Partially Segmented Markets

Ayelen Banegas, Allan Timmermann, Ben Gillen and Russell Wermers ()
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Ayelen Banegas: University of CA, San Diego
Allan Timmermann: University of CA, San Diego
Ben Gillen: CA Institute of Technology

Working Papers from University of Pennsylvania, Wharton School, Weiss Center

Abstract: This paper studies the predictability of European equity mutual fund performance during a period when European stock markets were partially segmented. Specifically, we use macroeconomic variables to predict the performance of European equity funds, including Pan-European, country, and sector funds. We find that 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 provide four-factor alphas of 7-12%/year over the 1993-2008 period. Our study provides new evidence on the benefits of local asset managers in segmented markets, as well as how macroeconomic information can be used to locate and exploit these benefits.

JEL-codes: G11 G15 G23 (search for similar items in EconPapers)
Date: 2011-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ecl:upafin:11-14

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