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)
Eurozone regulation bias in the active share measure
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 SCIMAGO:

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)

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 Record created 2020-11-19, last modified 2020-11-30


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