Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?

Bernhard Breloer, Hendrik Scholz and Marco Wilkens

Journal of Banking & Finance, 2014, vol. 43, issue C, 58-77

Abstract: This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least one of these factors. Including both new factors in performance evaluation clearly impacts results when analyzing (i) the risk-adjusted performance, (ii) the performance persistence of funds, and (iii) luck versus skill in the cross-section of funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single country, regional and sector factors.

Keywords: International equity funds; Global equity funds; Country momentum; Sector momentum; Fund performance (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:43:y:2014:i:c:p:58-77

DOI: 10.1016/j.jbankfin.2014.01.041

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