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- W2546748410 abstract "This paper studies the predictability of equity mutual fund performance in segmented markets. Specically, we use macroeconomic variables to predict the performance of equity funds in Europe, including Pan-European, country, and sector funds. We nd that macro-variables are useful in locating funds with future outperformance, and that country-specic mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specically, our baseline long-only strategies provide four-factor alphas of 7-12%/year over the 1993-2008 period. Our study provides new evidence on the benets of local asset managers in segmented markets, as well as how macroeconomic information can be used to locate and exploit these benets." @default.
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- W2546748410 date "2010-01-01" @default.
- W2546748410 modified "2023-09-26" @default.
- W2546748410 title "Mutual Fund Return Predictability in Segmented Markets" @default.
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