Eurozone regulation bias in the active share measure

Lidia Loban, José Luis Sarto and Luis Vicente

International Review of Financial Analysis, 2020, vol. 72, issue C

Abstract: This study is the first to examine how both the domestic equity benchmark concentration and the Directive 2009/65/EC on the risk of portfolio diversification may distort the accuracy of the original Active Share measure of Cremers and Petajisto (2009) in the Eurozone mutual fund industry. The main contribution of this paper is to provide statistical significance to the Active Share measure considering the spurious activity levels due to this benchmark concentration. The empirical application to a comprehensive sample of domestic equity funds provides evidence of significant differences in the actual levels of active management in the Eurozone mutual fund industries.

Keywords: Active share; Benchmark concentration; Eurozone mutual fund industry; Portfolio regulation (search for similar items in EconPapers)
JEL-codes: G11 G18 G23 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302088

DOI: 10.1016/j.irfa.2020.101564

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