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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 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.

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    File URL: https://www.econstor.eu/bitstream/10419/70127/1/736371982.pdf
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    Paper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 09-03 [rev.].

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    Date of creation: 2012
    Handle: RePEc:zbw:cfrwps:0903r
    Contact details of provider: Postal:
    0221 / 470 5607

    Phone: 0221 / 470 5607
    Fax: 0221 / 470 5179
    Web page: http://cfr-cologne.de/english/version06/html/home.php
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    19. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, 08.
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    23. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
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