Naslov (eng)

Mutual fund performance: Some recent evidence from European equity funds

Autor

Božović, Miloš

Opis (eng)

Abstract: This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

Jezik

engleski

Datum

2021

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 3.0 Unported - Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

http://creativecommons.org/licenses/by-nc-nd/3.0/legalcode

Predmet

Keywords: investment funds, active strategy, European stocks, Fama-French factors, momentum

Deo kolekcije (1)

o:28218

Ekonomski fakultet