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 shows the usefulness of selecting the appropriate time frequency to examine mutual fund market timing. Using a sample of daily returns for the UK, we find evidence of the benefit to increase the temporal frequency of the observations to estimate market timing as results present a...

This paper challenges existing studies of mutual fund market timing that find little evidence of timing ability. Using a sample of daily returns for 35 countries, we find that more than a third of mutual funds show significantly positive market timing ability across all countries. We show that...

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 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...

In this study we examine the European mutual fund market for the 1990-2021 period through the two parties involved in it: the investor and the fund manager. On the one hand, we determine the relevant factors of the decision to invest based on the modeling of asset flows. In the demand function,...

In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles, a fundamental aspect in the efficient management of an investment portfolio. We also analyze the skills of these managers to...

This paper examines the relationship between seasonality, idiosyncratic risk and mutual fund returns using multifactor models. We use a large sample containing the return histories of 728 UK mutual funds over a 23-year period to measure fund performance. We present evidence that idiosyncratic...

In this paper, we analyze equity mutual funds from the main European countries using daily and monthly returns to determine whether the temporary frequency of the data produces changes in the identification of timing skills by fund managers that justifies the current trend in the finance...

In this paper, we use Data Envelopment Analysis (DEA) to examine the efficiency of European mutual funds across different investment styles. The DEA methodology allows going beyond the meaning of conventional efficiency, being able to identify the most efficient mutual funds compared to the rest...