The conditional performance of euro bond funds: evidence from Portugal during the debt crisis
Autor(a) principal: | |
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Data de Publicação: | 2016 |
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/11110/1158 |
Resumo: | This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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The conditional performance of euro bond funds: evidence from Portugal during the debt crisisBond fundsfund performance evaluationconditional modelsmarket crisessurvivorship biasThis paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles.Spanish Journal of Finance and Accounting2016-12-12T15:26:30Z2016-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/11110/1158oai:ciencipca.ipca.pt:11110/1158enghttps://doi.org/Leite, P., & Cortez, M.C. (2016). The conditional performance of Euro bond funds: Evidence from Portugal during the debt crisis. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad (REFC), http://dx.doi.org/10.1080/02102412.2016.1265708.http://hdl.handle.net/11110/1158metadata 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:RCAAP2022-09-05T12:52:36Zoai:ciencipca.ipca.pt:11110/1158Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T15:01:33.529334Repositório 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 conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
title |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
spellingShingle |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis Leite, Paulo Bond funds fund performance evaluation conditional models market crises survivorship bias |
title_short |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
title_full |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
title_fullStr |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
title_full_unstemmed |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
title_sort |
The conditional performance of euro bond funds: evidence from Portugal during the debt crisis |
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 |
Bond funds fund performance evaluation conditional models market crises survivorship bias |
topic |
Bond funds fund performance evaluation conditional models market crises survivorship bias |
description |
This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-12-12T15:26:30Z 2016-12-01T00:00:00Z |
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/11110/1158 oai:ciencipca.ipca.pt:11110/1158 |
url |
http://hdl.handle.net/11110/1158 |
identifier_str_mv |
oai:ciencipca.ipca.pt:11110/1158 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://doi.org/Leite, P., & Cortez, M.C. (2016). The conditional performance of Euro bond funds: Evidence from Portugal during the debt crisis. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad (REFC), http://dx.doi.org/10.1080/02102412.2016.1265708. http://hdl.handle.net/11110/1158 |
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 |
Spanish Journal of Finance and Accounting |
publisher.none.fl_str_mv |
Spanish Journal of Finance and Accounting |
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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1799129885673783296 |