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Style, Fees and Performance of Italian Equity Funds

Author

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  • Cesari, R.
  • Panetta, F.

Abstract

Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante categories used by the Italian mutual funds association.

Suggested Citation

  • Cesari, R. & Panetta, F., 1998. "Style, Fees and Performance of Italian Equity Funds," Papers 325, Banca Italia - Servizio di Studi.
    • Handle: RePEc:fth:banita:325
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    References listed on IDEAS

    as
    1. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
    2. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.
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    Cited by:

    1. Luigi Guiso & Tullio Jappelli, 2003. "Stockholding in Italy," Palgrave Macmillan Books, in: Luigi Guiso & Michael Haliassos & Tullio Jappelli (ed.), Stockholding in Europe, chapter 6, pages 141-167, Palgrave Macmillan.
    2. Andrea Brandolini, 1999. "The Distribution of Personal Income in Post-War Italy: Source Description, Data Quality, and the Time Pattern of Income Inequality," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 58(2), pages 183-239, September.
    3. Guiso, Luigi & Jappelli, Tullio, 2000. "Household Portfolios in Italy," CEPR Discussion Papers 2549, C.E.P.R. Discussion Papers.
    4. Anolli, Mario & Del Giudice, Alfonso, 2008. "Italian Open End Mutual Fund Costs," MPRA Paper 8111, University Library of Munich, Germany.
    5. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
    6. Annaert, Jan & van den Broeck, Julien & Vander Vennet, Rudi, 2003. "Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach," European Journal of Operational Research, Elsevier, vol. 151(3), pages 617-632, December.

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    More about this item

    Keywords

    FINANCIAL ASSETS ; ITALY ; RISK;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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