In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...

We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

Purpose: The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further selectivity and market timing ability, and short-term performance persistence for the period 2015-2016. Design/methodology/approach: Utilizing a survivorship...

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...

Our study is the first to combine returns based and characteristics based style analysis into a single style analysis model. We use Best Fit Indices to establish the ‘investment domains' of our sample managers, along the lines of size and ‘style,' and then use our multidimensional...

Research that has led to what is known as the “low volatility anomaly” in cross-sectional stocks from a similar universe indicates that volatility is not compensated with a “volatility” premium. We find evidence of a risk premium, but it depends on the definition or measure of risk....

Behavioral finance lacks direct evidence linking agents’ beliefs to their behaviors. Motivated by revealed preference theories, I provide such evidence using mutual fund stock holdings. Assuming that investors' expectations are consistent with their investment decisions, I relate fund...