The Determinants of Mutual Fund Performance: A Cross-Country Study

Miguel Ferreira (), António F. Miguel and Sofia Ramos
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António F. Miguel: ISCTE Business School

No 06-31, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper studies the performance of mutual funds around the world using a sample of 10,568 open-end actively managed equity funds from 19 countries between 1999 and 2005. Performance is measured using four alternative benchmark models, including an international version of the Cahart four-factor model. We regress abnormal performance on fund attributes such as age, size, fees, management structure, and management tenure. We also investigate whether country characteristics such as economic development, financial development, familiarity, and investor protection have additional explanatory power. The results show that large funds tend to perform better, which suggests the presence of significant economies of scale. When investing abroad, young funds are more able to obtain better performance. Performance is higher in funds with higher fees and that are managed by an individual manager with more experience. Mutual fund performance is better in countries with stronger legal institutions. Domestic funds located in developed countries, in particular with liquid stock markets, perform better. When investing abroad, familiarity and proximity enhances the performance of mutual funds.

Keywords: Mutual funds; Performance; Fund attributes; Investor protection (search for similar items in EconPapers)
JEL-codes: G15 G18 G23 (search for similar items in EconPapers)
Date: 2006-11
New Economics Papers: this item is included in nep-eff
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Citations: View citations in EconPapers (7)

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http://ssrn.com/abstract=947098 First version, 1996 (application/pdf)

Related works:
Journal Article: The Determinants of Mutual Fund Performance: A Cross-Country Study (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0631

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