The Impact of UCITS IV Directive on European Mutual Funds Performance

Veasna Khim () and Hery Razafitombo ()
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Veasna Khim: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Hery Razafitombo: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

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Abstract: In this paper we examine the impact of UCITS IV Directive on the performance of European mutual funds. In a sample of 1435 Equity funds from December 2001 to December 2013, we empirically investigate the effects of economies of scale on the relation between size and performance. Using Chen et al. (2004) portfolio approach with various benchmark factors models, we find significant performance improvements according to UCITS IV periods. Using panel regressions with multilevel models, we find that European funds seem to benefit from gains related to size and not face to diseconomies of scale. Nonetheless, some specific characteristics of European fund family structure burden performance. Despite the intention from regulators to provide costless and favorable environment, European fund families are highly diversified and constituted by large number of low-sized members to achieve overall positive spillover effects.

Keywords: Economy of scale; Performance evaluation; European funds (search for similar items in EconPapers)
Date: 2015-12-16
Note: View the original document on HAL open archive server: https://hal.univ-lorraine.fr/hal-01698550
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Published in 28th Australasian Finance and Banking Conference, Dec 2015, Sydney, Australia

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01698550

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