|
|
|
|
||||
|
||||
The Determinants of Mutual Fund Performance: A Cross-Country StudyMiguel A. FerreiraNova School of Business and Economics; European Corporate Governance Institute (ECGI) Aneel KeswaniFaculty of Finance, Cass Business School, City University, London Antonio F. MiguelInstituto Universitário de Lisboa (ISCTE - IUL), Business Research Unit (UNIDE-IUL), Portugal Sofia Brito RamosInstituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - School of Business July 27, 2011 Swiss Finance Institute Research Paper No. 31 Abstract: We use a new data set to study the determinants of the performance of open-end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the U.S. and elsewhere in the world. The U.S. evidence of diminishing returns to scale is not an universal truth as the performance of funds located outside the U.S. and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the U.S. are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.
Number of Pages in PDF File: 56 Keywords: Mutual funds, Performance, Fund characteristics, Investor protection JEL Classification: G15, G18, G23 working papers seriesDate posted: November 26, 2006 ; Last revised: July 29, 2011Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo3 in 0.625 seconds
