Does the size of a fund family matter when choosing an investment strategy? Evidence from spain

Abstract

Conditional information, Market timing, Mutual fund families, Size of management company, Robustness tests, Stock picking, G11,

In search of winning mutual funds in the Chinese stock market

“…These findings contribute to the various strands of academic literature which either explore the empirical usefulness of alpha as a measure of fund performance (Chung et al, 2015) or which implement conventional technical strategies often used by practitioners in order to predict mutual fund returns (Sapp, 2011). They also contribute to studies that dissect the various determinants of managers' buying and selling decisions and the extent to which such decisions affect overall fund performance (Ferruz et al, 2010;Rohleder et al, 2017;Tosun, 2017;Popescu and Xu, 2018;Wang and Yu, 2018). In addition, our implementable framework for selecting winning mutual funds is a response to the findings by Chang et al (2003) and Rahman et al (2017) who argue that there are limitations associated with solely using Jensen's alpha as a tool for evaluating and detecting performance characteristics in the mutual fund industry.…”

Do pension funds managers display stock-picking and market timing ability? Evidence from the United Kingdom and Spain

“…To confi rm the absence of this bias in the results obtained, we shall apply the following regression, in line with Matallín (2006) and Ferruz et al (2010): …”

“…In this regard, we may mention Lhabitant (2005), who shows that the size of an investment portfolio affects the negative correlation between stock-picking and market timing; Jiang et al (2007), who fi nd that mutual funds that follow timing strategies are usually large; and Ferruz et al (2010), who show, in the case of Spanish mutual funds, that it is the size of the mutual fund management company, rather than the portfolio itself, that conditions stock-picking and market timing abilities.…”