The payback of mutual fund selectivity in European markets

被引：3

作者：

Dong, Feng ^{[1
]}

Doukas, John A. ^{[2
]}

机构：

[1] Old Dominion Univ, Dept Finance, Strome Coll Business, Constant Hall,Suite 2169, Norfolk, VA 23529 USA

[2] Old Dominion Univ, Dept Finance, Strome Coll Business, Constant Hall,Suite 2080, Norfolk, VA 23529 USA

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2019年 / 25卷 / 01期

关键词：

European fund selectivity skill; fund manager skill; fund performance; CROSS-SECTION; PERFORMANCE; RETURNS;

D O I：

10.1111/eufm.12160

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Is European fund management selectivity skill (1-R-2) profitable (alpha)? To examine this question, we use a sample of 2,947 actively managed domestic equity mutual funds from 11 European countries. We find that high fund selectivity generates significant investor gains. The results are robust to investor sentiment and stock-market dispersion conditions. Moreover, we investigate the moderating effect of country characteristics on the profitability of fund selectivity and find that managers' selectivity ability is more valuable in countries with high economic development, strong legal system, small but highly liquid equity markets, and young mutual fund industries.

引用

页码：160 / 180

页数：21

共 38 条

[1] Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds [J].