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Costly Information, Diversification, and International Mutual Fund Performance

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Author Info
Engström, Stefan () (Dept. of Finance, Stockholm School of Economics)

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Abstract

Active portfolio management is associated with a costly search for information. This paper provides evidence on how this costly search affects the performance of European-based mutual funds that are actively managed and invest in Asia and Europe. The paper examines both the search for superior stocks by fund managers and the search by unit-linked funds for superior fund managers. Moreover, performance and the impact of geographical distance between the fund and the market are examined.

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Publisher Info
Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 385.

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Length: 29 pages
Date of creation: 26 May 2000
Date of revision: 10 Nov 2001
Publication status: Published in Pacific-Basin Finance Journal, 2003, pages 463-482.
Handle: RePEc:hhs:hastef:0385

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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Related research
Keywords: Distance; market timing: portfolio evaluation; style analysis; survivorship bias;

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions

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  1. Stephanos Papadamou & Costas Siriopoulos, 2004. "American equity mutual funds in European markets: Hot hands phenomenon and style analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(2), pages 85-97. [Downloadable!]
  2. Dirk Brounen & Piet Eichholtz & David Ling, 2007. "Trading Intensity and Real Estate Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 449-474, November. [Downloadable!] (restricted)
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