Active Management and Mutual Fund Performance
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Otros documentos de la autoría: Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Tortosa-Ausina, Emili
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Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
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Título
Active Management and Mutual Fund PerformanceFecha de publicación
2018Editor
Universidad de Zaragoza. Facultad de Ciencias EconómicasISSN
1133-455XCita bibliográfica
MATALLÍN-SÁEZ, JUAN CARLOS; SOLER-DOMÍNGUEZ, Amparo; TORTOSA-AUSINA, Emili. Active Management and Mutual Fund Performance. Revista de Economía Aplicada, 2018, vol. 26, núm. 78Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.revecap.com/revista/Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
This paper analyses the relationship between active management and performance in US equity mutual funds over the period 2001-2011 for both gross and net returns. Active management is measured by time-varying parameters, ... [+]
This paper analyses the relationship between active management and performance in US equity mutual funds over the period 2001-2011 for both gross and net returns. Active management is measured by time-varying parameters, idiosyncratic risk and turnover. A U-shaped relation is found, thus both the best and the worst mutual funds show a higher level of active management. This behavior is also found in the relationship between expenses and performance. Active management therefore implies selecting different strategies or investment bets with higher expenses and an unequal performance is achieved. However some level of persistence in the success of these bets is only found for the best mutual funds. [-]
Publicado en
Revista de Economía Aplicada, 2018, vol. 26, núm. 78Proyecto de investigación
ECO2017-85746- P (Ministerio de Economía, Industria y Competitividad) and UJI-B2017-14 (Universitat Jaume I)Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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