Journal of Financial Economics Vol. 108 No. 3 2013
The cross section of conditional mutual fund performance in European stock markets
Abstract
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 country-specific 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% per 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.
- DOI
- 10.1016/j.jfineco.2013.01.008
- Volume
- 108
- Issue
- 3
- Pages
- 699-726
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib