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

Author

Listed:
  • Banegas, Ayelen
  • Gillen, Ben
  • Timmermann, Allan
  • Wermers, Russ

Abstract

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 countryspecific 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%/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.

Suggested Citation

  • Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2012. "The cross-section of conditional mutual fund performance in European stock markets," CFR Working Papers 09-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  • Handle: RePEc:zbw:cfrwps:0903r
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    References listed on IDEAS

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    More about this item

    Keywords

    European equity markets; mutual fund performance; time-varying investment opportunities;

    JEL classification:

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