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In this study we examine the European mutual fund market for the 1990-2021 period through the two parties involved in it: the investor and the fund manager. On the one hand, we determine the relevant factors of the decision to invest based on the modeling of asset flows. In the demand function,...
Persistent link: https://www.econbiz.de/10014084789
This paper analyzes determinants of home bias in equity funds based on monthly holdings data using panel and quantile regressions. We investigate 699 equity funds, domiciled in fifteen European countries, that broadly invested in European stocks from January 2003 to December 2016. More than...
Persistent link: https://www.econbiz.de/10012890440
The current study evaluates the performance of the Fama and French three-factor model in a global setting with stocks selected from 15 European countries. We employed the multivariate regression approach after sorting six portfolios according to size and book-to-market. The constituent stocks...
Persistent link: https://www.econbiz.de/10013218462
recent conditional models, we address a performance comparison between these funds and unscreened benchmark Indices as well … choices without pledging their financial returns, contrary to portfolio theory predictions. This paper proves that it is …
Persistent link: https://www.econbiz.de/10013081084
In this paper, we analyze equity mutual funds from the main European countries using daily and monthly returns to determine whether the temporary frequency of the data produces changes in the identification of timing skills by fund managers that justifies the current trend in the finance...
Persistent link: https://www.econbiz.de/10014238679
The paper revisits the issue of robustness of fund performance by evaluating European large-cap equity funds. For this fund category traditional market risk factor adjusted performance measures are expected to be fairly robust. However, for the sample of 65 European large-cap mutual equity...
Persistent link: https://www.econbiz.de/10013110048
This paper examines the performance and persistence in performance of style-consistent European equity mutual funds between 1988 and 2010. Using a large survivorship bias-free sample for six European countries, we document strong evidence of persistence in benchmark-adjusted returns over 1-year...
Persistent link: https://www.econbiz.de/10013111424
This paper introduces a return-based approach to studying a possible home bias of equity funds by estimating their exposures in their home countries. We first confirm the robustness of our approach using simulated portfolios with different proportions of domestic and foreign stocks. The...
Persistent link: https://www.econbiz.de/10012936446
We investigate the phenomenon that past winners in the stock market are potential future winners in the European bond market. By using a data-set of EUR denominated bonds for the IG and HY market since 2000, we show that the stock market leads the bond market as well as rating changes. Firms...
Persistent link: https://www.econbiz.de/10012848226
This paper uses granular bond portfolio data to study how banking systems across the European Union (EU) adjust their asset holdings in response to regulatory solvency shocks. We also study the impact of these shocks at financial intermediaries on the prices of bonds in their portfolio. Despite...
Persistent link: https://www.econbiz.de/10012161046