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Does the size of a fund family matter when choosing an investment strategy? Evidence from spain

Author

Listed:
  • Luis Ferruz

    ()

  • Fernando Muñoz

    ()

  • Maria Vargas

    ()

Abstract

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Suggested Citation

  • Luis Ferruz & Fernando Muñoz & Maria Vargas, 2010. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 315-334, October.
  • Handle: RePEc:kap:rqfnac:v:35:y:2010:i:3:p:315-334
    DOI: 10.1007/s11156-009-0106-2
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    References listed on IDEAS

    as
    1. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, August.
    2. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    4. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.
    5. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    6. Carlos Forner & Joaquín Marhuenda, 2003. "Contrarian and Momentum Strategies in the Spanish Stock Market," European Financial Management, European Financial Management Association, vol. 9(1), pages 67-88.
    7. Terrence Hallahan & Robert Faff, 2001. "Induced persistence or reversals in fund performance?: the effect of survivorship bias," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 119-126.
    8. Rob Bauer & Rogér Otten & Alireza Tourani Rad, 2006. "New Zealand mutual funds: measuring performance and persistence in performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(3), pages 347-363.
    9. Kon, Stanley J, 1983. "The Market-Timing Performance of Mutual Fund Managers," The Journal of Business, University of Chicago Press, vol. 56(3), pages 323-347, July.
    10. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    11. 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.
    12. David R. Gallagher & Kyle M. Martin, 2005. "Size and investment performance: a research note," Abacus, Accounting Foundation, University of Sydney, vol. 41(1), pages 55-65.
    13. Wei (Wendy) Liu & Bruce G. Resnick & Gary L. Shoesmith, 2004. "Market Timing Of International Stock Markets Using The Yield Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(3), pages 373-391.
    14. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-461, June.
    15. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
    16. Dirk Jenter, 2005. "Market Timing and Managerial Portfolio Decisions," Journal of Finance, American Finance Association, vol. 60(4), pages 1903-1949, August.
    17. Florinda Silva & Maria do Céu Cortez & Manuel Rocha Armada, 2003. "Conditioning Information and European Bond Fund Performance," European Financial Management, European Financial Management Association, vol. 9(2), pages 201-230.
    18. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
    19. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-235, April.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Conditional information; Market timing; Mutual fund families; Size of management company; Robustness tests; Stock picking; G11;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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