The Performance of European Index Funds and Exchange-Traded Funds

被引：30

作者：

Blitz, David ^{[1
]}

Huij, Joop ^{[1
,2
]}

Swinkels, Laurens ^{[1
,3
]}

机构：

[1] Robeco Quantitat Strategies, Rotterdam, Netherlands

[2] Rotterdam Sch Management, Rotterdam, Netherlands

[3] Erasmus Sch Econ, Rotterdam, Netherlands

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2012年 / 18卷 / 04期

关键词：

INVESTORS; INDUSTRY;

D O I：

10.1111/j.1468-036X.2010.00550.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least on par with fund expenses. Dividend taxes also explain performance differences between funds that track different benchmarks and time variation in fund performance. Our results imply that not only fund expenses, but also dividend taxes can result in a substantial drag on mutual fund performance.

引用

页码：649 / 662

页数：14

共 15 条

[1]

Agapova A., 2009, J FINANCIAL IN PRESS

[2] S&P 500 indexers, tracking error, and liquidity - A complex answer to profiting. [J].