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American equity mutual funds in European markets: Hot hands phenomenon and style analysis
Author(s) -
Papadamou Stephanos,
Siriopoulos Costas
Publication year - 2004
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.233
Subject(s) - investment style , equity (law) , economics , style analysis , phenomenon , portfolio , market capitalization , financial economics , order (exchange) , index (typography) , monetary economics , econometrics , stock market , finance , macroeconomics , return on investment , asset allocation , geography , context (archaeology) , law , archaeology , open ended investment company , quantum mechanics , political science , physics , production (economics) , world wide web , computer science
We studied empirically American no‐load equity mutual funds that invest in European stocks and keep their managers for more than three years, in order to investigate the persistence of the short‐term performance, and the related investment style. The results showed an underperformance compared to the Eurostoxx index and a ‘hot hands’ phenomenon does not persist, with some exceptions. Mutual funds that performed well in a five‐month evaluation period continued to generate superior performance in the next four months. According to style analysis a portfolio constructed by growth‐large, growth‐medium and value‐large capitalization stocks outperformed any other investment style. However, well‐diversified funds were the most mean–variance efficient, style‐consistent funds. Copyright © 2004 John Wiley & Sons, Ltd.