The performance of European equity mutual funds
AbstractDespite the significant growth in the European fund industry in recent years, the performance of European equity mutual funds is a largely unexplored area of research. This paper shows that macroeconomic state variables can be used to identify a significant time-varying alpha component among a large sample of Pan-European, European country and sector funds. State variables such as the default yield spread, the term spread, the dividend yield and the short risk-free rate as well as macroeconomic variables tracking consumer price in ation and economic sentiment prove valuable in ex-ante identification of superior performance among funds. Most of the alpha that these state variables help produce comes from their ability to select superior Pan-European funds and generate returns from country selection. --
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Bibliographic InfoPaper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 09-03.
Date of creation: 2009
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- Klaas P. Baks, 2001.
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- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Mark M. Carhart & Jennifer N. Carpenter & Anthony W. Lynch & David K. Musto, 2002. "Mutual Fund Survivorship," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1439-1463.
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