Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

46 Pages Posted: 18 Jun 2013

See all articles by Vassilios Babalos

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese; University of Piraeus - Department of Banking and Financial Management

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Nikolaos Philippas

University of Piraeus - Department of Business Administration

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Date Written: June 17, 2013

Abstract

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in performance and risk are found between female and male managed funds. However, perverse market timing manifests itself mainly in female managed funds and in the left tail of the returns distribution. Interestingly, at fund level there is evidence of significant overperformance that survives even after accounting for funds’ exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly dependent on the selection of the specific quantile of the returns distribution; also, style consistency for male and female managers manifests itself across different quantiles. These results have important implications for fund management companies and for retail investors’ asset allocation strategies.

Keywords: mutual funds, performance, timing, gender difference, quantile regression

JEL Classification: G110, G230

Suggested Citation

Babalos, Vassilios and Caporale, Guglielmo Maria and Philippas, Nikolaos, Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better? (June 17, 2013). CESifo Working Paper Series No. 4275, Available at SSRN: https://ssrn.com/abstract=2280273

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese ( email )

Antikalamos
Kalamata, KALAMATA 24100
Greece

HOME PAGE: http://www.teikal.gr

University of Piraeus - Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Nikolaos Philippas

University of Piraeus - Department of Business Administration ( email )

80, Karaoli & Dimitriou, Piraueus
Athens, 18534
Greece

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