Time Variation in Mutual Fund Style Exposures
Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the assumption that style exposures are time-invariant. We apply results on break tests developed in Bai and Perron (1998, 2003) to test for style breaks. We find strong evidence against the hypothesis of constant time exposures in daily return data for European equity funds. All funds exhibit at least one break, and 60% exhibit more than one break. We show that the main reason for style breaks is the mutual funds' reliance on conditional investment strategies based on public information and volatility estimates. Copyright 2007, Oxford University Press.
Year of publication: |
2007
|
---|---|
Authors: | Annaert, Jan ; Campenhout, Geert Van |
Published in: |
Review of Finance. - European Finance Association - EFA, ISSN 1572-3097. - Vol. 11.2007, 4, p. 633-661
|
Publisher: |
European Finance Association - EFA |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
To Be or Not Be …'Too Late': The Case of the Belgian Semi-annual Earnings Announcements
Annaert, Jan, (2002)
-
To Be or Not Be ... 'Too Late': The Case of the Belgian Semi-annual Earnings Announcements
Annaert, Jan, (2002)
-
Article Contribution and Subsequent Citation Rates: Evidence from European Accounting Review
Campenhout, Geert Van, (2010)
- More ...