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American equity mutual funds in European markets: Hot hands phenomenon and style analysis

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  • Stephanos Papadamou

    (Department of Applied Informatics, University of Macedonia, Greece)

  • Costas Siriopoulos

    (Department of Business Administration, University of Patras, Greece)

Abstract

We studied empirically American no-load equity mutual funds that invest in European stocks and keep their managers for more than three years, in order to investigate the persistence of the short-term performance, and the related investment style. The results showed an underperformance compared to the Eurostoxx index and a 'hot hands' phenomenon does not persist, with some exceptions. Mutual funds that performed well in a five-month evaluation period continued to generate superior performance in the next four months. According to style analysis a portfolio constructed by growth-large, growth-medium and value-large capitalization stocks outperformed any other investment style. However, well-diversified funds were the most mean-variance efficient, style-consistent funds. Copyright © 2004 John Wiley & Sons, Ltd.

Suggested Citation

  • 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.
    • Handle: RePEc:ijf:ijfiec:v:9:y:2004:i:2:p:85-97
    DOI: 10.1002/ijfe.233
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    References listed on IDEAS

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    Cited by:

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    6. Kathryn Holmes & Robert Faff & Iain Clacher, 2010. "Style analysis and dominant index timing: an application to Australian multi-sector managed funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 293-301.
    7. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    8. Fadillah Mansor & M. Ishaq Bhatti & Shafiqur Rahman & Hung Quang Do, 2020. "The Investment Performance of Ethical Equity Funds in Malaysia," JRFM, MDPI, vol. 13(9), pages 1-14, September.
    9. Robert Faff & Annette Nguyen & Bonnie H.I. Ip & Philip Gharghori, 2012. "Return-based Style Analysis in Australian Funds," Multinational Finance Journal, Multinational Finance Journal, vol. 16(3-4), pages 155-188, September.

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