A New Family of Equity Style Indices and Mutual Fund Performance: Do Liquidity and Idiosyncratic Risk Matter?

IF 2.2 3区 经济学 Q2 BUSINESS, FINANCE
N. Wagner, E. Winter
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引用次数: 31

Abstract

We propose and test novel multifactor models of daily mutual fund performance. To this aim, we set up equity style indices and derive risk factors, which nest the established Fama and French (1992) and Carhart (1997) factors. We add two additional risk factors, namely idiosyncratic risk and Amihud (2002) liquidity. Our sample contains 528 actively managed mutual funds with European stock market focus during 2002 to 2009. Model estimation reveals that—while market excess return and size appear significant for the cross-section of all funds—the remainder factors explain the performance of subsets of funds. About one third of the funds exhibit significant factor sensitivities not only with respect to valuation or momentum, but also with respect to liquidity or idiosyncratic risk. No single risk factor is dominated and hence our six factor model may serve as a valid performance benchmark. In a four factor model setting, the Carhart model and a model with valuation replaced by liquidity perform best. Our results remain stable under various robustness checks. We further document that managers on average prefer liquid stocks, show no aggregate idiosyncratic risk preference and deliver results that are consistent with equilibrium models of fund performance.
我们提出并测试了新的共同基金日常表现的多因素模型。为此,我们建立了股票风格指数,并推导出风险因素,这些因素嵌套了Fama和French(1992)以及Carhart(1997)的既定因素。我们增加了两个额外的风险因素,即特质风险和Amihud(2002)流动性。我们的样本包含528只积极管理的共同基金,它们在2002年至2009年期间关注欧洲股市。模型估计显示,虽然市场超额收益和规模对所有基金的横截面都很重要,但其余因素解释了基金子集的表现。大约三分之一的基金不仅在估值或动量方面,而且在流动性或特殊风险方面表现出显著的因素敏感性。没有单一的风险因素占主导地位,因此我们的六因素模型可以作为有效的绩效基准。在四因素模型设置中,Carhart模型和以流动性代替估值的模型表现最好。我们的结果在各种稳健性检查下保持稳定。我们进一步证明,基金经理平均更喜欢流动性股票,没有表现出总体的特殊风险偏好,并且提供的结果与基金绩效的均衡模型一致。
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来源期刊
European Journal of Finance
European Journal of Finance BUSINESS, FINANCE-
CiteScore
5.40
自引率
8.00%
发文量
72
期刊介绍: The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.
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