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

Detalhes bibliográficos
Autor(a) principal: Leite, Paulo
Data de Publicação: 2020
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/1822/69295
Resumo: This paper provides new evidence on the appropriateness of the Fama-French (2015) 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 fundsSocial SciencesThis paper provides new evidence on the appropriateness of the Fama-French (2015) 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.Fundação para a Ciência e TecnologiaTaylor & FrancisUniversidade do MinhoLeite, PauloCortez, Maria Céu20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/69295eng1350-48511466-429110.1080/13504851.2019.1678723info: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:RCAAP2023-07-21T12:46:43Zoai:repositorium.sdum.uminho.pt:1822/69295Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:44:44.859536Repositório 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
Social Sciences
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.none.fl_str_mv Universidade do Minho
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
Social Sciences
topic Mutual fund performance
Factor models
Conditional models
Profitability
Investment
International funds
Social Sciences
description This paper provides new evidence on the appropriateness of the Fama-French (2015) 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 2020
dc.date.none.fl_str_mv 2020
2020-01-01T00:00:00Z
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/1822/69295
url http://hdl.handle.net/1822/69295
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1350-4851
1466-4291
10.1080/13504851.2019.1678723
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 Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
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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