We propose and test a methodological framework to examine the relation between mutual fund fees and return predictability. Gil-Bazo and Ruiz-Verdu (2009) drew attention to the puzzling fact that funds with worse before-fee performance charge higher fees. We make another contribution to the...

This paper examines the relation between idiosyncratic risk and mutual fund performance using asset pricing models. We use a unique data set containing monthly returns of 949 UK equity mutual funds over a 28-year period to measure fund performance. We find that idiosyncratic risk cannot be...

This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods....

This paper examines the use of private information by mutual funds with unconditional and conditional performance models. Using daily data for 35 countries over the 1990-2015 period, we find evidence that the use of conditioning information provides a more accurate estimation of fund...

There is no overall consensus about which measure is the most suitable for evaluating portfolios' performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation. Thus, the other measures...

The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In...

In this article, we contribute to the discussion in the financial literature about performance persistence by examining the issue of persistence in short-term mutual fund performance in the Scandinavian countries between 1990 and 2020. We use a unique sample of equity funds investing locally...

The adequate evaluation of mutual fund performance and of the fund managers’ ability to add value is an issue to which it has been given special attention in the recent financial literature. One of the traditional evaluation measures most commonly used is Carhart's alpha. However, one of the...

This study examines the performance of an extensive sample of French mutual funds investing nationally over the period 1990-2020, in our analysis we consider market synchronization abilities and stock selection capabilities of French managers. We use traditional performance measures and other...

This paper analyzes the performance of stocks listed on the London Stock Exchanges to determine whether there is a size effect. The hypothesis being examined is whether the smaller stocks obtain higher returns than the large ones even after adjusting for risk. The study period is from 1990 to...