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| Author: | Otten, R. Bams, D. |
| Title: | European Mutual Fund Performance |
| Journal: | European Financial Management
2002 : MAR, VOL. 8:1, p. 75-101 |
| Index terms: | EUROPE UNIT TRUSTS ANALYTICAL REVIEW PERFORMANCE APPRAISAL |
| Language: | eng |
| Abstract: | This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the five most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset- pricing model. In addition the authors investigate whether European fund managers exhibit 'hot hands', persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. The authors' overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If the authors add back management fees, four out of five countries exhibit significant out- performance at an aggregate level. |
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