Value investing: application of different strategies to equity mutual funds

被引：0

作者：

Iglesias Garcia, Juan Manuel ^{[1
]}

Otero Gonzalez, Luis ^{[1
]}

Duran Santomil, Pablo ^{[1
]}

机构：

[1] Univ Santiago De Compostela, Dept Finance & Accounting, Santiago De Compostela, Spain

来源：

SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD | 2022年 / 51卷 / 02期

关键词：

Mutual funds; active management; value investing; performance; BOOK-TO-MARKET; CROSS-SECTION; STOCK RETURNS; RATIOS; INFORMATION; INVESTMENT; WINNERS; RISK;

D O I：

10.1080/02102412.2021.1909318

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we have analysed the performance of several value investing strategies for Eurozone equity mutual funds. We have executed an empirical study of what the application of this technique implies, with its different variants, to large-cap equity funds. This has allowed us to analyse different value investment strategies, and to see which are the most profitable. Since they are defined by parameters, or ratios, the next step in this study has been to analyse the sensitivity of investors' profitability in accordance with how effective choosing mutual funds is based on certain ratios, or a possible combination of several of them. Our results support that an investment strategy combining value (undervalued stocks) and quality (high ROA) leads to success when investing in Eurozone equity mutual funds.

引用

页码：213 / 231

页数：19

共 50 条

[31] On the performance of emerging market equity mutual funds [J].

Huij, Joop ;

Post, Thierry .

EMERGING MARKETS REVIEW, 2011, 12 (03) :238-249

[32] Forecasting correlation among equity mutual funds [J].

Ahmed, P .

JOURNAL OF BANKING & FINANCE, 2001, 25 (06) :1187-1208

[33] Towards New Strategies for Investing: Insights on Sustainable Exchange-Traded Funds (ETFs) [J].

Marin-Rodriguez, Nini Johana ;

Gonzalez-Ruiz, Juan David ;

Botero, Sergio .

WORLD, 2025, 6 (01)

[34] Analysis of Style Investing and Evaluating Style Analysis of the Mutual Funds [J].

Milanova, Zdenka .

PROCEEDINGS OF THE 23RD INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2005, 2005, :262-267

[35] Effect of Mutual Fund Fundamentals and Characteristics on Their Performance: An Empirical Study of Thai Equity Mutual Funds [J].

Hensawang, Surang Mainkamnurd .

CUADERNOS DE ECONOMIA-SPAIN, 2022, 45 (128) :13-+

[36] Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions [J].

Teplova, Tamara, V ;

Sokolova, Tatiana, V ;

Fasano, Antonio ;

Rodina, Victoria A. .

VOPROSY EKONOMIKI, 2020, (09) :40-60

[37] The Geography of Subadvisors, Managerial Structure, and the Performance of International Equity Mutual Funds [J].

Broman, Markus ;

Densmore, Michael ;

Nolan, Pauline Shum .

REVIEW OF ASSET PRICING STUDIES, 2023, 13 (02) :343-374

[38] Momentum strategies of German mutual funds [J].

Franck A. ;

Walter A. ;

Witt J.F. .

Financial Markets and Portfolio Management, 2013, 27 (3) :307-332

[39] Global Equity Country Allocation: An Application of Factor Investing [J].

Angelidis, Timotheos ;

Tessaromatis, Nikolaos .

FINANCIAL ANALYSTS JOURNAL, 2017, 73 (04) :55-73

[40] Is There Investment Value in the Soft-Dollar Arrangement? Evidence from Mutual Funds* [J].

Gokkaya, Sinan ;

Liu, Xi ;

Pool, Veronika Krepely ;

Xie, Fei ;

Zhang, Jinfan .

REVIEW OF FINANCIAL STUDIES, 2023, 36 (08) :3122-3162

← 1 2 3 4 5 →