Measuring fund performance using multi-factor models: evidence for the Portuguese market
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/11110/592 |
Resumo: | This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level. |
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Measuring fund performance using multi-factor models: evidence for the Portuguese marketMutual fundsPerformance evaluationMulti-factor modelsConditional modelsThis paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level.International Journal of Business2014-01-14T16:39:42Z2009-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/11110/592oai:ciencipca.ipca.pt:11110/592engLeite, P., Cortez, M.C., & M.R. Armada, 2009, "Measuring fund performance using multi-factor models: Evidence for the Portuguese market", International Journal of Business, 14 (3), 175-198.1083-4346http://hdl.handle.net/11110/592metadata only accessinfo:eu-repo/semantics/openAccessLeite, PauloCortez, Maria CéuArmada, Manuel Rochareponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-09-05T12:52:03Zoai:ciencipca.ipca.pt:11110/592Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T15:00:55.277807Repositório 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 |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
title |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
spellingShingle |
Measuring fund performance using multi-factor models: evidence for the Portuguese market Leite, Paulo Mutual funds Performance evaluation Multi-factor models Conditional models |
title_short |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
title_full |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
title_fullStr |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
title_full_unstemmed |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
title_sort |
Measuring fund performance using multi-factor models: evidence for the Portuguese market |
author |
Leite, Paulo |
author_facet |
Leite, Paulo Cortez, Maria Céu Armada, Manuel Rocha |
author_role |
author |
author2 |
Cortez, Maria Céu Armada, Manuel Rocha |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Leite, Paulo Cortez, Maria Céu Armada, Manuel Rocha |
dc.subject.por.fl_str_mv |
Mutual funds Performance evaluation Multi-factor models Conditional models |
topic |
Mutual funds Performance evaluation Multi-factor models Conditional models |
description |
This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-01-01T00:00:00Z 2014-01-14T16:39:42Z |
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/11110/592 oai:ciencipca.ipca.pt:11110/592 |
url |
http://hdl.handle.net/11110/592 |
identifier_str_mv |
oai:ciencipca.ipca.pt:11110/592 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Leite, P., Cortez, M.C., & M.R. Armada, 2009, "Measuring fund performance using multi-factor models: Evidence for the Portuguese market", International Journal of Business, 14 (3), 175-198. 1083-4346 http://hdl.handle.net/11110/592 |
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 |
International Journal of Business |
publisher.none.fl_str_mv |
International Journal of Business |
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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1799129878926196736 |