000078774 001__ 78774
000078774 005__ 20210205082738.0
000078774 0247_ $$2doi$$a10.1016/j.iref.2018.02.003
000078774 0248_ $$2sideral$$a104452
000078774 037__ $$aART-2018-104452
000078774 041__ $$aeng
000078774 100__ $$0(orcid)0000-0003-3661-5448$$aAndreu, L.$$uUniversidad de Zaragoza
000078774 245__ $$aMutual fund performance attribution and market timing using portfolio holdings
000078774 260__ $$c2018
000078774 5060_ $$aAccess copy available to the general public$$fUnrestricted
000078774 5203_ $$aWe propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such as past return strategies, security selection, market timing and passive timing. The model was tested for a sample of mutual funds. Empirical results show that security selection is the main contributor to fund performance regardless of the sample period considered or the asset pricing model used. The evidence of timing ability is mixed with low significance. Nevertheless there are noticeable differences between the timing ability of the best and worst performing funds, especially in crisis periods. Analysing the relationship between mutual fund performance (and its different components) and fund characteristics, we find that top funds are significantly smaller and more concentrated than other funds. Finally, we also examine the persistence in the performance and in its components finding evidence of positive persistence in past return strategies and picking skills although this persistence is not shown in the overall performance.
000078774 536__ $$9info:eu-repo/grantAgreement/ES/MEC/ECO2014-55221-P$$9info:eu-repo/grantAgreement/ES/MINECO/ECO2013-45568-R
000078774 540__ $$9info:eu-repo/semantics/openAccess$$aAll rights reserved$$uhttp://www.europeana.eu/rights/rr-f/
000078774 590__ $$a1.432$$b2018
000078774 591__ $$aECONOMICS$$b156 / 363 = 0.43$$c2018$$dQ2$$eT2
000078774 591__ $$aBUSINESS, FINANCE$$b57 / 103 = 0.553$$c2018$$dQ3$$eT2
000078774 592__ $$a0.772$$b2018
000078774 593__ $$aFinance$$c2018$$dQ1
000078774 593__ $$aEconomics and Econometrics$$c2018$$dQ1
000078774 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/acceptedVersion
000078774 700__ $$aMatallín-Sáez, J.C.
000078774 700__ $$0(orcid)0000-0001-6078-0465$$aSarto, J.L.$$uUniversidad de Zaragoza
000078774 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000078774 773__ $$g57 (2018), 353-370$$pINTERNATIONAL REVIEW OF ECONOMICS & FINANCE$$tINTERNATIONAL REVIEW OF ECONOMICS & FINANCE$$x1059-0560
000078774 8564_ $$s275359$$uhttps://zaguan.unizar.es/record/78774/files/texto_completo.pdf$$yPostprint
000078774 8564_ $$s9183$$uhttps://zaguan.unizar.es/record/78774/files/texto_completo.jpg?subformat=icon$$xicon$$yPostprint
000078774 909CO $$ooai:zaguan.unizar.es:78774$$particulos$$pdriver
000078774 951__ $$a2021-02-05-08:27:04
000078774 980__ $$aARTICLE