The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets

Posted: 23 Mar 2011 Last revised: 5 Sep 2012

See all articles by Ayelen Banegas

Ayelen Banegas

Board of Governors of the Federal Reserve System

Benjamin J. Gillen

Claremont McKenna College - Robert Day School of Economics and Finance

Allan Timmermann

UCSD ; Centre for Economic Policy Research (CEPR)

Russ Wermers

University of Maryland - Robert H. Smith School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: September 3, 2012

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

Suggested Citation

Banegas, Ayelen and Gillen, Benjamin J. and Timmermann, Allan and Wermers, Russell R., The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets (September 3, 2012). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: https://ssrn.com/abstract=1787794 or http://dx.doi.org/10.2139/ssrn.1787794

Ayelen Banegas

Board of Governors of the Federal Reserve System ( email )

20th and C Streets, NW
Washington, DC 20551
United States

Benjamin J. Gillen

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth St.
Claremont, CA 91711-6420
United States

Allan Timmermann

UCSD ( email )

9500 Gilman Drive
La Jolla, CA 92093-0553
United States
858-534-0894 (Phone)

HOME PAGE: http://rady.ucsd.edu/people/faculty/timmermann/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Russell R. Wermers (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

Department of Finance
College Park, MD 20742-1815
United States
301-405-0572 (Phone)
301-405-0359 (Fax)

HOME PAGE: http://www.rhsmith.umd.edu/finance/rwermers/

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,133
PlumX Metrics