Eurozone regulation bias in the active share measure
Loban Acero, Lidia (Universidad de Zaragoza) ; Sarto Marzal, José Luis (Universidad de Zaragoza) ; Vicente Gimeno, Luis Alfonso (Universidad de Zaragoza)
Resumen: This study is the first to examine how both the domestic equity benchmark concentration and the Directive 2009/65/EC on risk of portfolio diversification may distort the accuracy of the original Active Share measure of Cremers and Petajisto (2009) in the Eurozone mutual fund industry. The main contribution of this paper is to provide statistical significance to the Active Share measure considering the spurious activity levels due to this benchmark concentration. The empirical application to a comprehensive sample of domestic equity funds provides evidence of significant differences in the actual levels of active management in the Eurozone mutual fund industries.
Idioma: Inglés
DOI: 10.1016/j.irfa.2020.101564
Año: 2020
Publicado en: International review of financial analysis 72 (2020), 101564 [10 pp.]
ISSN: 1057-5219
Factor impacto JCR: 5.373 (2020)
Categ. JCR: BUSINESS, FINANCE rank: 8 / 108 = 0.074 (2020) - Q1 - T1
Factor impacto SCIMAGO: 1.27 - Finance (Q1) - Economics and Econometrics (Q1)
Financiación: info:eu-repo/grantAgreement/ES/DGA/S38-17R
Financiación: info:eu-repo/grantAgreement/ES/MCIU/FPU16-03779
Financiación: info:eu-repo/grantAgreement/ES/MINECO/RTI2018-093483-B-I00
Tipo y forma: Article (PostPrint)
Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)
You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. You may not use the material for commercial purposes. If you remix, transform, or build upon the material, you may not distribute the modified material.
Exportado de SIDERAL (2021-09-02-10:17:17)
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Idioma: Inglés
DOI: 10.1016/j.irfa.2020.101564
Año: 2020
Publicado en: International review of financial analysis 72 (2020), 101564 [10 pp.]
ISSN: 1057-5219
Factor impacto JCR: 5.373 (2020)
Categ. JCR: BUSINESS, FINANCE rank: 8 / 108 = 0.074 (2020) - Q1 - T1
Factor impacto SCIMAGO: 1.27 - Finance (Q1) - Economics and Econometrics (Q1)
Financiación: info:eu-repo/grantAgreement/ES/DGA/S38-17R
Financiación: info:eu-repo/grantAgreement/ES/MCIU/FPU16-03779
Financiación: info:eu-repo/grantAgreement/ES/MINECO/RTI2018-093483-B-I00
Tipo y forma: Article (PostPrint)
Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)
You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. You may not use the material for commercial purposes. If you remix, transform, or build upon the material, you may not distribute the modified material. Exportado de SIDERAL (2021-09-02-10:17:17)
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Articles > Artículos por área > Economía Financiera y Contabilidad
Record created 2020-11-19, last modified 2021-09-02