Investing in a Global World

48 Pages Posted: 10 Mar 2011 Last revised: 22 Jun 2011

See all articles by Jeffrey A. Busse

Jeffrey A. Busse

Emory University - Department of Finance

Amit Goyal

University of Lausanne; Swiss Finance Institute

Sunil Wahal

Arizona State University (ASU) - Finance Department

Date Written: June 21, 2011


We examine active retail mutual funds and institutional products with a mandate to invest in international equity markets between 1991 and 2009. Using global and regional factor models, we find no reliable evidence of alphas in the aggregate or on average. The right tail of the distribution contains some large alphas. Decomposing stock selection from country selection, we find little evidence of superior stock picking abilities in the extreme right tail. Luck versus skill tests show that funds in the tails are there due to luck. Persistence tests also show little evidence of continuation in superior performance.

Keywords: International, Portfolio Management, Performance

JEL Classification: G11, G15, G23

Suggested Citation

Busse, Jeffrey A. and Goyal, Amit and Wahal, Sunil, Investing in a Global World (June 21, 2011). AFA 2012 Chicago Meetings Paper, Available at SSRN: or

Jeffrey A. Busse (Contact Author)

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States
404-727-0160 (Phone)
404-727-5238 (Fax)

Amit Goyal

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)


Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4

Sunil Wahal

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

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