Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74491
Authors: 
Babalos, Vassilis
Caporale, Guglielmo Maria
Philippas, Nikolaos
Year of Publication: 
2013
Series/Report no.: 
DIW Discussion Papers 1300
Abstract: 
This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in performance and risk are found between female and male managed funds. However, perverse market timing manifests itself mainly in female managed funds and in the left tail of the returns distribution. Interestingly, at fund level there is evidence of significant overperformance that survives even after accounting for funds' exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly dependent on the selection of the specific quantile of the returns distribution; also, style consistency for male and female managers manifests itself across different quantiles. These results have important implications for fund management companies and for retail investors' asset allocation strategies.
Subjects: 
mutual funds
performance
timing
gender difference
quantile regression
JEL: 
G11
G23
Document Type: 
Working Paper

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