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The Cross-Section of Conditional Mutual Fund Performance in European Stock MarketsAyelen BanegasFederal Reserve Board Benjamin J. GillenCalifornia Institute of Technology Allan G. TimmermannUniversity of California, San Diego (UCSD) - Department of Economics; Centre for Economic Policy Research (CEPR) Russ WermersUniversity of Maryland - Robert H. Smith School of Business September 3, 2012 Journal of Financial Economics (JFE), Forthcoming Abstract: This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Speci fically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas of 12-13%/year over the 1993-2008 period. Our study provides new evidence on the skills of local versus Pan-European asset managers, as well as how macroeconomic information can be used to locate and time these local fund manager skills.
Keywords: European equity markets, mutual fund performance, time-varying investment opportunities JEL Classification: G11, G15, G23 Accepted Paper SeriesDate posted: March 23, 2011 ; Last revised: September 5, 2012Suggested CitationContact Information
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