Avantages informationnels, spécialisation sectorielle et performance: une étude des fonds mutuels

Radu Burlacu (), Patrice Fontaine () and Sonia Jimenez-Garces ()
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Radu Burlacu: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
Patrice Fontaine: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique
Sonia Jimenez-Garces: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique

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Abstract: A significant body of literature predicts that mutual funds with higher levels of private information are more specialized and deliver superior performance. We analyze the impact of private information (informational advantages) on mutual funds' performance for 224 U.S. sector funds and 1,135 U.S. actively-managed equity funds. Using the degree of industry concentration as a proxy for private information, we find a positive and significant relation between performance and private information for sector funds. This relation is less obvious for equity funds. Our results are robust to asset pricing models and benchmark specifications.

Keywords: performance de "market-timing; performance de sélection; fonds actions; fonds sectoriels; spécialisation industrielle; avantage informationnels; performance de "market-timing"; modèles d'équilibre à anticipations rationnelles (search for similar items in EconPapers)
Date: 2006
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Published in Finance, 2006, 27 (2), pp.34-70

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00132223

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