This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods....

The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In...

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We use a unique data set containing monthly returns of 949 UK equity mutual funds over a 28-year period to measure fund performance. We find that idiosyncratic risk cannot be...

Our study examines whether financial distress risk is systematic risk using twelve portfolios sorted by size, book-to-market, and leverage and a portfolio of distressed firms covering an 18-year period. It also tests the explanatory power of the risk factors that best capture default risk. The...

This paper examines the use of private information by mutual funds with unconditional and conditional performance models. Using daily data for 35 countries over the 1990-2015 period, we find evidence that the use of conditioning information provides a more accurate estimation of fund...

There is no overall consensus about which measure is the most suitable for evaluating portfolios' performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation. Thus, the other measures...

This paper analyses the market efficiency persistence of the mutual fund industry around the world. With a large database of domestic equity funds across 35 countries, our study employs multifactor models and non-parametric methodology to examine fund efficiency across countries and its...