The cross section of conditional mutual fund performance in European stock markets

Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; Wermers, Russ

doi:10.1016/j.jfineco.2013.01.008

Cited by 83 publications

(45 citation statements)

References 43 publications

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“…In spite of this fact Figure 1 became mantra of the Slovak republic pension funds performance, when long-term development is presented 2 . But the only added value of this chart is to show PUCV changes and periods of different forms of PMCs regulation, not the real performance.…”

Section: Pitfalls Of Current Methodology and Data Setmentioning

confidence: 99%

“…All previous analyzes computed directly performance measures from available actual data (f.e. Banegas et al, 2013, Hunter et al 2014) and a work dealing with problem of inaccuracies of computing appreciation derived from changes in the pension unit current value (PUCV) could not be find. Schroeder (2012) use internal rate of return to compute profitability within pay-as-you-go system.…”

Section: Introductionmentioning

confidence: 99%

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New Concept of Pension Funds Performance Evaluation

Farkašovský¹

2014

International Scientific Conference

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Section: Pitfalls Of Current Methodology and Data Setmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

New Concept of Pension Funds Performance Evaluation

Farkašovský¹

2014

International Scientific Conference

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“…As other distinct features it is possible to point that: (1) all these studies have been conducted either at the individual country level, e.g., for funds that invest in Germany, UK or Italy (Walter and Weber, 2006;Cuthbertson and Nitzsche, 2013;Cuthbertson et al, 2008;Geranio and Zanotti, 2005), or on the group country level, e.g. EU-15 (Bengtsson and Delbecque, 2011); (2) all these studies focus mainly on individual characteristics of European mutual funds, in particular on their performance (Banegas et al, 2013;Vidal-García, 2013), and leave out their macroeconomic determinants and attributes. Thus based on review of recent and sometimes all existing studies it is possible to conclude that there is a large gap in research of functional characteristics and growth determinants of mutual fund industry in countries of Central and Eastern Europe (CEE).…”

Section: Overview Of Literature On Mutual Fund Industry Developmentmentioning

confidence: 99%

Modeling the Size of the Mutual Fund Industry in Countries of Central and Eastern Europe

Lemeshko¹,

Rejnuš²

2015

FAI

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“…37 Use of the currency risk factor is motivated by Banegas, Gillen, Timmermann, and Wermers (2013), who document its importance when evaluating how well European mutual funds perform.…”

Section: Portfolio Sortsmentioning

confidence: 99%

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

Joenväärä

Kosowski

2015

SSRN Journal

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We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various robustness tests and adjustments for possible selection bias. The liquidity premium for ARUs and their lack of performance persistence have implications for both investors and policy makers. JEL Classifications: G11, G12, G23Keywords: hedge fund performance, mutual fund performance, managerial skill, regulation 1 IntroductionOne goal of financial regulation is to protect investors by ensuring that markets are fair and that fraudulent activities are minimized. Despite calls in 2009 by the G20 (an international finance minister and central bank governor forum) for coordinated international financial regulation following the 2007-2008 financial crisis, financial regulation continues to vary widely by country. With regard to alternative investment funds, regulatory responses -for example, the US Dodd-Frank Act and the European Union's AIFMD 1 -also display significant geographic differences with regard to liquidity requirements, remuneration rules, and risk limits. Such differences almost certainly have a welfare impact by way of the resulting performance and risk differences among alternative investment funds, which are held by pension funds, sovereign wealth funds, and other investors. A particular type of EU investment fund regulation is UCITS, 2 which has global implications because it involves unique and testable restrictions (e.g., the effect of liquidity terms on fund performance) intended to enhance investor protection. We use UCITS restrictions on hedge funds as a natural testing ground for assessing several hypotheses concerning hedge fund performance while carefully adjusting for selection bias.The UCITS funds universe is economically important, and UCITS funds are recognized -and can be marketed -in 75 countries worldwide. The assets under management (AuM) of UCITS funds amount to some $8 trillion, which is comparable to the US mutual fund industry's $11.6 trillion. 3Outside the United States, UCITS funds account for more than half of fund assets worldwide, and about three fourths of the funds publicly sold in Asia are UCITS funds. 4 The impact of UCITS is felt also by non-European investors and managers. For instance, Paulson & Co. (a renowned US hedge fund management firm) launched a UCITS version of its flagship offshore hedge fund with Deutsche Bank in 2010. 5Alternative investment fund managers are increasingly deciding to implement alternative strategies through more regulated vehicles so that they can gain access to the assets of retail and institutional investors, which typically prefer funds that ar...

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The cross section of conditional mutual fund performance in European stock markets

Cited by 83 publications

References 43 publications

New Concept of Pension Funds Performance Evaluation

New Concept of Pension Funds Performance Evaluation

Modeling the Size of the Mutual Fund Industry in Countries of Central and Eastern Europe

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

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