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Cash Holdings and the Performance of European Mutual Funds

Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2018-02
Author(s)
Graf, Frank
Vogt, Pascal
Vonhoff, Volker
Weigert, Florian  
Abstract (De)
We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly inuenced by a fund's fee structure, past ows and ow volatility, and a fund's Investment strategy. EU Funds with cash holdings in excess of the level predicted by fund attributes (i.e., high abnormal cash funds) outperform their low abnormal cash peers by risk-adjusted 0.96% per annum.
Language
English
Keywords
Cash holdings
mutual funds
performance evaluation
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Publisher
SoF-HSG
Volume
2018/07
Pages
13
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/100783
Subject(s)

finance

Division(s)

s/bf - Swiss Institut...

SoF - School of Finan...

Eprints ID
253726
File(s)
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Thumbnail Image
Name

18_07_Weigert et al_Cash Holding an the Performance of European Mutual Funds.pdf

Size

346.21 KB

Format

Adobe PDF

Checksum (MD5)

d93242728b91b9cf0781ca1ae69c964d

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