Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70127
Authors: 
Banegas, Ayelen
Gillen, Ben
Timmermann, Allan
Wermers, Russ
Year of Publication: 
2012
Series/Report no.: 
CFR Working Paper 09-03 [rev.]
Abstract: 
This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide the best opportunities for fund rotation strategies using macroeconomic information. Specifically, our baseline long-only strategies that exploit time-varying predictability provide four-factor alphas of 12-13%/year over the 1993-2008 period. Our study provides new evidence on the skills of local versus Pan-European asset managers, as well as how macroeconomic information can be used to locate and time these local fund manager skills.
Subjects: 
European equity markets
mutual fund performance
time-varying investment opportunities
JEL: 
G11
G15
G23
Document Type: 
Working Paper

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