Investment and profitability factors in mutual fund performance evaluation: a conditional approach

Detalhes bibliográficos
Autor(a) principal: Leite, Paulo
Data de Publicação: 2019
Outros Autores: Cortez, Maria Céu
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11110/1776
Resumo: This paper provides new evidence on the appropriateness of the Fama-French five-factor model to evaluate international equity funds’ performance. After extending this model to a conditional framework by allowing for time-varying risk and performance, the results show that funds underperformed during the 2000–2017 period. Funds investing globally and in Europe tend to invest in aggressive firms, but only the latter are exposed to firms with weak profitability. We thus conclude that although both investment and profitability factors are significant in explaining fund returns, the investment factor plays a more relevant role irrespective of the funds’ geographical area of investment.
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spelling Investment and profitability factors in mutual fund performance evaluation: a conditional approachMutual fund performanceFactor modelsConditional modelsProfitabilityInvestmentInternational fundsThis paper provides new evidence on the appropriateness of the Fama-French five-factor model to evaluate international equity funds’ performance. After extending this model to a conditional framework by allowing for time-varying risk and performance, the results show that funds underperformed during the 2000–2017 period. Funds investing globally and in Europe tend to invest in aggressive firms, but only the latter are exposed to firms with weak profitability. We thus conclude that although both investment and profitability factors are significant in explaining fund returns, the investment factor plays a more relevant role irrespective of the funds’ geographical area of investment.Applied Economics Letters2019-10-29T15:03:14Z2019-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/11110/1776oai:ciencipca.ipca.pt:11110/1776engPaulo Leite & Maria Céu Cortez (2019): Investment and profitability factors in mutual fund performance evaluation: a conditional approach, Applied Economics Letters, DOI: 10.1080/13504851.2019.1678723http://hdl.handle.net/11110/1776metadata only accessinfo:eu-repo/semantics/openAccessLeite, PauloCortez, Maria Céureponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-09-05T12:53:08Zoai:ciencipca.ipca.pt:11110/1776Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T15:02:05.353628Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Investment and profitability factors in mutual fund performance evaluation: a conditional approach
title Investment and profitability factors in mutual fund performance evaluation: a conditional approach
spellingShingle Investment and profitability factors in mutual fund performance evaluation: a conditional approach
Leite, Paulo
Mutual fund performance
Factor models
Conditional models
Profitability
Investment
International funds
title_short Investment and profitability factors in mutual fund performance evaluation: a conditional approach
title_full Investment and profitability factors in mutual fund performance evaluation: a conditional approach
title_fullStr Investment and profitability factors in mutual fund performance evaluation: a conditional approach
title_full_unstemmed Investment and profitability factors in mutual fund performance evaluation: a conditional approach
title_sort Investment and profitability factors in mutual fund performance evaluation: a conditional approach
author Leite, Paulo
author_facet Leite, Paulo
Cortez, Maria Céu
author_role author
author2 Cortez, Maria Céu
author2_role author
dc.contributor.author.fl_str_mv Leite, Paulo
Cortez, Maria Céu
dc.subject.por.fl_str_mv Mutual fund performance
Factor models
Conditional models
Profitability
Investment
International funds
topic Mutual fund performance
Factor models
Conditional models
Profitability
Investment
International funds
description This paper provides new evidence on the appropriateness of the Fama-French five-factor model to evaluate international equity funds’ performance. After extending this model to a conditional framework by allowing for time-varying risk and performance, the results show that funds underperformed during the 2000–2017 period. Funds investing globally and in Europe tend to invest in aggressive firms, but only the latter are exposed to firms with weak profitability. We thus conclude that although both investment and profitability factors are significant in explaining fund returns, the investment factor plays a more relevant role irrespective of the funds’ geographical area of investment.
publishDate 2019
dc.date.none.fl_str_mv 2019-10-29T15:03:14Z
2019-10-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11110/1776
oai:ciencipca.ipca.pt:11110/1776
url http://hdl.handle.net/11110/1776
identifier_str_mv oai:ciencipca.ipca.pt:11110/1776
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Paulo Leite & Maria Céu Cortez (2019): Investment and profitability factors in mutual fund performance evaluation: a conditional approach, Applied Economics Letters, DOI: 10.1080/13504851.2019.1678723
http://hdl.handle.net/11110/1776
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Applied Economics Letters
publisher.none.fl_str_mv Applied Economics Letters
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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