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Variation in the value of active share across regions of investments: Evidence from global equity funds

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  • Broman, Markus
  • Fulkerson, Jon

Abstract

Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.

Suggested Citation

  • Broman, Markus & Fulkerson, Jon, 2025. "Variation in the value of active share across regions of investments: Evidence from global equity funds," Journal of Banking & Finance, Elsevier, vol. 180(C).
    • Handle: RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001657
    DOI: 10.1016/j.jbankfin.2025.107545
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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