Please use this identifier to cite or link to this item:
|Title:||Gender, style diversity and their effect on fund performance|
|Keywords:||Mutual funds;Performance;Timing;Gender diversity;Quantile regression|
|Citation:||Research in International Business and Finance, 35: 57–74, (September 2015)|
|Abstract:||This paper examines the performance of 358 European diversified equity mutual funds controlling for gender diversity. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, proper statistical tests point to the absence of significant differences in performance and risk 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.|
|Description:||© 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license(http://creativecommons.org/licenses/by/4.0/).|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.