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

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

Journal of Financial Economics, 2013, vol. 108, issue 3, 699-726

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 country-specific 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% per 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: 2013
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:108:y:2013:i:3:p:699-726

DOI: 10.1016/j.jfineco.2013.01.008

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