The determinants of mutual fund performance: A cross-country study

Detalhes bibliográficos
Autor(a) principal: Ferreira, Miguel A.
Data de Publicação: 2012
Outros Autores: Keswani, Aneel, Miguel, Antonio F., Ramos, Sofia B.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/16052
Resumo: We use a new data set to study the determinants of the performance of open–end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere in the world. The US evidence of diminishing returns to scale is not a universal truth as the performance of funds located outside the USA and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the USA are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.
id RCAP_7f36ac92801ba5006d8f610be7dc038f
oai_identifier_str oai:run.unl.pt:10362/16052
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling The determinants of mutual fund performance: A cross-country studyWe use a new data set to study the determinants of the performance of open–end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere in the world. The US evidence of diminishing returns to scale is not a universal truth as the performance of funds located outside the USA and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the USA are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.Review of FinanceRUNFerreira, Miguel A.Keswani, AneelMiguel, Antonio F.Ramos, Sofia B.2015-12-05T10:26:20Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/16052engThis is a pre-copyedited, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The version of record Miguel A. Ferreira, Aneel Keswani, Antonio F. Miguel, and Sofia B. Ramos. 2012. “The Determinants of Mutual Fund Performance: A Cross-Country Study.” Review of Finance 17 (2): 483–525. doi:10.1093/rof/rfs013 is available at http://rof.oxfordjournals.org/cgi/doi/10.1093/rof/rfs01310.1093/rof/rfs013info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:52:33Zoai:run.unl.pt:10362/16052Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:58.492580Repositório 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 The determinants of mutual fund performance: A cross-country study
title The determinants of mutual fund performance: A cross-country study
spellingShingle The determinants of mutual fund performance: A cross-country study
Ferreira, Miguel A.
title_short The determinants of mutual fund performance: A cross-country study
title_full The determinants of mutual fund performance: A cross-country study
title_fullStr The determinants of mutual fund performance: A cross-country study
title_full_unstemmed The determinants of mutual fund performance: A cross-country study
title_sort The determinants of mutual fund performance: A cross-country study
author Ferreira, Miguel A.
author_facet Ferreira, Miguel A.
Keswani, Aneel
Miguel, Antonio F.
Ramos, Sofia B.
author_role author
author2 Keswani, Aneel
Miguel, Antonio F.
Ramos, Sofia B.
author2_role author
author
author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Ferreira, Miguel A.
Keswani, Aneel
Miguel, Antonio F.
Ramos, Sofia B.
description We use a new data set to study the determinants of the performance of open–end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere in the world. The US evidence of diminishing returns to scale is not a universal truth as the performance of funds located outside the USA and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the USA are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01T00:00:00Z
2015-12-05T10:26:20Z
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/10362/16052
url http://hdl.handle.net/10362/16052
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv This is a pre-copyedited, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The version of record Miguel A. Ferreira, Aneel Keswani, Antonio F. Miguel, and Sofia B. Ramos. 2012. “The Determinants of Mutual Fund Performance: A Cross-Country Study.” Review of Finance 17 (2): 483–525. doi:10.1093/rof/rfs013 is available at http://rof.oxfordjournals.org/cgi/doi/10.1093/rof/rfs013
10.1093/rof/rfs013
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Review of Finance
publisher.none.fl_str_mv Review of Finance
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
_version_ 1799137867121819648

Registros relacionados