The Performance of Local Versus Foreign Mutual Fund Managers PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Performance of Local Versus Foreign Mutual Fund Managers PDF full book. Access full book title The Performance of Local Versus Foreign Mutual Fund Managers by Rogér Otten. Download full books in PDF and EPUB format.
Author: Rogér Otten
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
Get Book Here
Book Description
In this paper we examine the performance of local US equity funds versus foreign UK funds also investing in the US equity market. Based on informational disadvantages one would expect the foreign funds to under-perform the local funds, especially in the research intensive small company market. After controlling for tax treatment, fund objectives, investment style and time-variation in betas, we do not find evidence for this.In the small company segment we even find a slight out-performance for foreign funds compared to local funds. In addition to that we observe a home bias in the UK portfolios, which could not be explained by currency effects or other non-US equity holdings.
Author: Rogér Otten
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
Get Book Here
Book Description
In this paper we examine the performance of local US equity funds versus foreign UK funds also investing in the US equity market. Based on informational disadvantages one would expect the foreign funds to under-perform the local funds, especially in the research intensive small company market. After controlling for tax treatment, fund objectives, investment style and time-variation in betas, we do not find evidence for this.In the small company segment we even find a slight out-performance for foreign funds compared to local funds. In addition to that we observe a home bias in the UK portfolios, which could not be explained by currency effects or other non-US equity holdings.
Author: Stephen Tschanz
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
Get Book Here
Book Description
Author: G. Gregoriou
Publisher: Springer
ISBN: 0230626491
Category : Business & Economics
Languages : en
Pages : 279
Get Book Here
Book Description
This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.
Author: Mr.R. Gelos
Publisher: International Monetary Fund
ISBN: 1455253316
Category : Business & Economics
Languages : en
Pages : 29
Get Book Here
Book Description
Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of portfolio flows and the mechanisms behind the transmission of financial shocks across countries. This paper provides a brief survey of this literature, with a focus on the empirical evidence for emerging markets. Overall, the behavior of international mutual funds is complex and overly simplistic characterizations are misleading. However, there is broad-based evidence for momentum trading among funds. Moreover, funds tend to avoid opaque markets and assets, and this behavior becomes more pronounced during volatile times. Portfolio rebalancing mechanisms are clearly important in explaining contagion patterns, even in the absence of common macroeconomic fundamentals. From a surveillance point of view, this implies that monitoring the exposures of large investors at a micro level is crucial to assess vulnerabilities.
Author: Dalia Ahmed El Mosallamy
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 248
Get Book Here
Book Description
Author: Jerry T. Parwada
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Get Book Here
Book Description
Investors seeking exposure to global equity markets commonly buy international mutual funds managed by locally based fund managers. How competitive is this form of intermediated investing? We investigate whether international equity fund managers mimic each other's portfolio holdings and analyze the performance implications of these actions. Managers based in the same country have more stocks held in common than those of their peers in other countries. Correlated trading among domestic fund managers contributes significantly to this pattern. Cross-border managers' portfolio holdings and trades are also relevant to the actions of domestic managers. Stock selection strategies based on mimicry and differentiation both deliver short-term superior performance. Mimicked sales occur while prices are rising.
Author: Johan Sulaeman
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
Get Book Here
Book Description
Although investors' preference for nearby investments has been widely documented in the literature, there is no apparent consensus on whether local investors have any informational advantage. Analyzing the equity holdings of a large sample of actively managed mutual funds, I find evidence consistent with a perception in the mutual fund industry that local funds have an informational advantage. However, the portfolio of mutual funds' local holdings do not display significant superior performance relative to the portfolio of their distant holdings. Using a parsimonious model, I hypothesize that the profitability of local informational advantage will be low due to price impact when there is a relatively large population of local agents who trade on similar private information. Consistent with this hypothesis, I find that funds do earn superior returns on local stocks for which the aggregate local capital is limited and hence the price impact of local trades is likely to be small. Overall, the results suggest that although local investors have some informational advantage, this local advantage does not lead to superior abnormal performance by local managers because of the price impact of their trading.
Author: Miranda Lam Detzler
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 274
Get Book Here
Book Description
Author: Maximilian Wegener
Publisher: GRIN Verlag
ISBN: 3656822301
Category : Business & Economics
Languages : en
Pages : 66
Get Book Here
Book Description
Thesis (M.A.) from the year 2014 in the subject Business economics - Investment and Finance, grade: 7.5, Maastricht University, language: English, abstract: The following study examines the performance of mutual funds investing in small cap companies in the period from 1990 until 2013. Therefore, funds investing in small companies in Germany are tested on their ability to deliver risk-adjusted abnormal returns. The returns are risk-adjusted according to Fama French (1996) three-factor model, Carhart four-factor model and the liquidity adjusted five-factor model of Pastor and Stambaugh (2003). A separate examination of the internet crisis 2000 until 2003 and the financial crisis period 2008 until 2013 is done, to assess the ability of fund managers in isolation to examine their results in situations when their skills are most needed. On average, I conclude that fund managers, investing in the small capitalization segment in Germany, are not able to outperform the market even before fees.
Author: Reena Aggarwal
Publisher: World Bank Publications
ISBN:
Category : Foreign exchange
Languages : en
Pages : 47
Get Book Here
Book Description
