Arbeitspapier
Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in performance and risk are found between female and male managed funds. However, perverse market timing manifests itself mainly in female managed funds and in the left tail of the returns distribution. Interestingly, at fund level there is evidence of significant overperformance that survives even after accounting for funds' exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly dependent on the selection of the specific quantile of the returns distribution; also, style consistency for male and female managers manifests itself across different quantiles. These results have important implications for fund management companies and for retail investors' asset allocation strategies.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 4275
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
mutual funds
performance
timing
gender difference
quantile regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Babalos, Vassilis
Caporale, Guglielmo Maria
Philippas, Nikolaos
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Babalos, Vassilis
- Caporale, Guglielmo Maria
- Philippas, Nikolaos
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2013
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