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Cash Holdings and the Performance of European Mutual Funds

Frank Graef (), Pascal Vogt, Volker Vonhoff and Florian Weigert ()

No 1807, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund's fee structure, past flows and flow volatility, and a fund's investment strategy. EU Funds with cash holdings in excess of the level predicted by fund attributes (i.e., high abnormal cash funds) outperform their low abnormal cash peers by risk-adjusted 0.96% per annum.

Keywords: Cash holding; mutual funds; performance evaluation (search for similar items in EconPapers)
JEL-codes: G10 G11 G15 G23 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2018-02
New Economics Papers: this item is included in nep-fmk and nep-rmg
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