Cash holdings and the performance of European mutual funds

Frank Graef, Pascal Vogt, Volker Vonhoff and Florian Weigert

Finance Research Letters, 2019, vol. 29, issue C, 285-291

Abstract: We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund’s fee structure, past flows and flow volatility, and a fund’s investment strategy. EU Funds with cash holdings in excess of the level predicted by fund attributes (i.e., high abnormal cash funds) earn higher risk-adjusted returns of 0.48% than their low abnormal cash peers over the subsequent six-months period. However, this outperformance disappears after 12–months.

Keywords: Cash holdings; Mutual funds; Performance evaluation (search for similar items in EconPapers)
JEL-codes: G10 G11 G15 G23 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:285-291

DOI: 10.1016/j.frl.2018.08.006

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