Actively managed equity mutual funds in emerging markets

Michael González, José Gabriel Astaíza-Gómez and Javier Pantoja

Research in International Business and Finance, 2024, vol. 72, issue PA

Abstract: In this study, we analyze the performance of mutual fund managers who operate in emerging markets. Emerging stock markets differ from mature markets in significant ways, such as weak prosecution for insider trading, poor corporate governance practices, and a lack of liquidity, which create market inefficiencies that active investment strategies can exploit. We evaluate conditional alphas and multiple measures of liquidity, with a focus on equity funds that invest in emerging markets to achieve abnormal returns. Our analysis shows that smaller funds are significantly impacted by liquidity and that conditioning for public information has a significant effect on the distribution of returns. We find evidence of positive abnormal returns, which suggests that active management in emerging markets can be profitable.

Keywords: Stock mutual funds; Alpha; Managerial skills; Liquidity; Active investing (search for similar items in EconPapers)
JEL-codes: G11 G20 G23 G30 J24 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924003337

DOI: 10.1016/j.ribaf.2024.102540

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