Vidal-García, Javier; Vidal, Marta - In: European Journal of Operational Research 233 (2014) 3, pp. 613-624
This paper examines the relationship between seasonality, idiosyncratic risk and mutual fund returns using multifactor models. We use a large sample containing the return histories of 728 UK mutual funds over a 23-year period to measure fund performance. We present evidence that idiosyncratic...