Performance and Characteristics of Swedish Mutual Funds
This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectinal ana...
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Published in | Journal of financial and quantitative analysis Vol. 35; no. 3; pp. 409 - 423 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
New York, USA
Cambridge University Press
01.09.2000
University of Washington School of Business Administration and New York University Leonard N. Stern School of Business |
Subjects | |
Online Access | Get full text |
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Summary: | This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectinal analysis of the relation between performance and fund attributes such as past performance, flow, size, turnover, and proxies for expenses and trading activity. The results show that good performance occurs among small equity funds, low fee funds, funds whose trading activity is high and, in some cases, funds with good past performance. |
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Bibliography: | PII:S002210900000925X ArticleID:00925 Dahlquist and Söderlind, Stockholm School of Economics, and CEPR; Engström, Stockholm School of Economics, Box 6501, Stokholm, SE 113 83, Sweden. We have benefited from the comments and suggestions of Stephen Brown (the editor), Martin Edström, Hans Fahlim, and Lu Zheng (the referee). We appreciate research assistance from Ingela Redelius and Pernilla Viottti. istex:747945C822428A9A693E03E7D42FC2FF8A833B41 ark:/67375/6GQ-3T1HMG0V-9 ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0022-1090 1756-6916 |
DOI: | 10.2307/2676211 |