Fund trading divergence and performance contribution

Gimeno, Ruth (Universidad de Zaragoza) ; Andreu, Laura (Universidad de Zaragoza) ; Sarto, José Luis (Universidad de Zaragoza)

Resumen: Considering that the most distinct trading decisions are crucial to evaluate the ability of fund managers to add value, this paper aims to examine the trading divergence level among mutual funds and to capture its determinants and its performance consequences. We propose a measure that is more informative than the traditional overlap metrics, providing evidence of a positive and significant trend of fund trading divergence over time, especially after the Global Financial Crisis (GFC) of 2008. Our results also show a negative influence of market stress on the trading divergence level. Interestingly, we find greater contribution to subsequent fund performance in the divergent portions of trading decisions.

Idioma: Inglés

DOI: 10.1016/j.irfa.2022.102221

Año: 2022

Publicado en: International review of financial analysis 83 (2022), 102221 [14 pp.]
ISSN: 1057-5219

Factor impacto JCR: 8.2 (2022)

Categ. JCR: BUSINESS, FINANCE rank: 4 / 111 = 0.036 (2022) - Q1 - T1

Factor impacto CITESCORE: 9.1 - Economics, Econometrics and Finance (Q1)

Factor impacto SCIMAGO: 1.881 - Finance (Q1) - Economics and Econometrics (Q1)

Financiación: info:eu-repo/grantAgreement/ES/DGA-IIU/1-2017
Financiación: info:eu-repo/grantAgreement/ES/DGA/S38-20R
Financiación: info:eu-repo/grantAgreement/ES/MCIU-AEI-FEDER/RTI2018-093483-B-I00

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)