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| Author: | Dietze, L.H. Entrop, O. Wilkens, M. |
| Title: | The performance of investment grade corporate bond funds: evidence from the European market |
| Journal: | European Journal of Finance
2009 : JAN/FEB, VOL. 15:1-2, p. 191-209 |
| Index terms: | Europe performance measurement financial markets capital markets bond markets models |
| Freeterms: | mutual funds |
| Language: | eng |
| Abstract: | This paper explores the risk-adjusted performance of mutual funds offered in Germany, exclusively investing in the 'rather new' capital market segment of euro-denominated investment grade corporate bonds. Using a single-index model and several multi-index and asset-class-factor models, there is found evidence that corporate bond funds, on average, under-perform the benchmark portfolios. Futhermore, there is not a single fund showing a significantly positive performance. These results are robust to the different models. Finally, driving factors behind fund performance are explored. |
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