European Mutual Fund Performance
基于506只欧洲基金样本，用Carhart四因子模型分析业绩，发现欧洲基金尤其是小盘基金能创造正收益，且英国基金收益有持续性，与美国研究结论不同。
This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the five most important mutual fund countries. The latter is done using the Carhart (1997) 4‐factor asset‐pricing model. In addition we investigate whether European fund managers exhibit ‘hot hands’, persistence in performance. Finally the influence of fund characteristics on risk‐adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, four out of five countries exhibit significant out‐performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the UK. Our results deviate from most US studies that argue mutual funds under‐perform the market by the amount of expenses they charge.