Performance of Foreign and Global Mutual Funds: The Role of Security Selection, Region-Shifting, and Style-Shifting Abilities

被引：3

作者：

Tsai, Hui-Ju ^{[1
]}

Wu, Yangru ^{[2
]}

机构：

[1] Washington Coll, Chestertown, MD 21620 USA

[2] Rutgers State Univ, New Brunswick, NJ 08901 USA

来源：

FINANCIAL REVIEW | 2015年 / 50卷 / 04期

关键词：

global and foreign funds; performance persistence; region-shifting abilities; style-shifting abilities; security selection abilities;

D O I：

10.1111/fire.12076

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the performance of U.S.-based foreign and global funds after controlling for their regional and style exposure. We show that, on average, the total performance (TP) and security selection abilities of both foreign and global funds are significantly negative and exhibit short-term predictability. Additionally, R-2 reflects funds' security selection abilities, consistent with previous findings for domestic mutual funds. Investors can earn higher abnormal returns and TP in the short run by purchasing past winners with low R-2 than by purchasing past losers with high R2. However, there is no evidence of predictability in the funds' region-shifting and style-shifting abilities.

引用

页码：517 / 545

页数：29