Does the size of a fund family matter when choosing an investment strategy? Evidence from spain

Does the size of a fund family matter when choosing an investment strategy? Evidence from spain This paper aims to determine whether the size of a fund family influences investment strategy (stock picking or market timing) in the Spanish mutual fund market. This is a highly concentrated market, being controlled by two banks with a percentage of 46%. The impact of considering time-varying returns and risks on selectivity and market timing results is also assessed. Our results indicate that large management companies follow a market timing strategy, while small management companies are better at stock picking. These results are more obvious when conditional information is included. Additional tests are carried out to check the robustness of our results. We observe that the results obtained for large and small management companies are maintained when we control for fund size and when we introduce additional benchmarks into the timing model. However, when the time period is divided into two subperiods, the results are no longer robust. This may be connected to the evolution of returns in the Spanish market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Does the size of a fund family matter when choosing an investment strategy? Evidence from spain

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Publisher
Springer US
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-009-0106-2
Publisher site
See Article on Publisher Site

References

  • New Zealand mutual funds: measuring performance and persistence in performance
    Bauer, R; Otten, R; Rad, AT
  • Mutual fund survivorship
    Carhart, MM; Carpenter, JN; Lynch, A; Musto, DK
  • An unconditional asset-pricing test and the role of firm size as an instrumental variable for risk
    Chan, KC; Chen, NF
  • Does fund size erode mutual fund performance? The role of liquidity and organization
    Chen, JS; Hong, HG; Huang, M; Kubik, JD

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