Do Mutual Funds Ourtperform During Recessions? International (Counter-) Evidence

Item Type Monograph (Working Paper)
Abstract

Glode (2011) shows, both theoretically and empirically, that U.S. equity mutual funds have a systematically better performance during periods of economic downturn and that investors are willing to pay higher fund fees for this recession insurance. In this paper, we test these hypotheses out-of-sample using international mutual fund data from 16 different countries. Surprisingly, we cannot confirm that mutual funds outperform during recessions and do not find that funds with high recession alphas can charge higher fees to Investors. Hence, our study raises doubts about the validity of Glode (2011)'s model and looks for alternative explanations of mutual fund's state-specific performance and optimal fee-setting.

Authors Fink, Christopher; Raatz, Katharina & Weigert, Florian
Language English
Keywords International Mutual Fund Performance, Mutual Funds, Recession
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date 2014
Publisher SoF - HSG
Place of Publication St. Gallen
Series Name School of Finance working paper series
Number 2014/15
Depositing User Prof. Dr. Florian Weigert
Date Deposited 02 Oct 2014 11:41
Last Modified 23 Aug 2016 11:20
URI: https://www.alexandria.unisg.ch/publications/235552

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Citation

Fink, Christopher; Raatz, Katharina & Weigert, Florian: Do Mutual Funds Ourtperform During Recessions? International (Counter-) Evidence. School of Finance working paper series, 2014, 2014/15.

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https://www.alexandria.unisg.ch/id/eprint/235552
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