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The cross section of conditional mutual fund performance in European stock markets

Listed author(s):
  • Banegas, Ayelen
  • Gillen, Ben
  • Timmermann, Allan
  • Wermers, Russ
Registered author(s):

    This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance and that country-specific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specifically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas of 12–13% per year over the 1993–2008 period. Our study provides new evidence on the skills of local versus Pan-European asset managers, as well as how macroeconomic information can be used to locate and time these local fund manager skills.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0304405X13000251
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 108 (2013)
    Issue (Month): 3 ()
    Pages: 699-726

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    Handle: RePEc:eee:jfinec:v:108:y:2013:i:3:p:699-726
    DOI: 10.1016/j.jfineco.2013.01.008
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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