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

Dies ist die aktuellste Version dieses Eintrags.

URL:	http://www.cfr-cologne.de/download/kolloquium/2015...
Weitere URL:	http://ssrn.com/abstract=2497680
Dokumenttyp:	Arbeitspapier
Erscheinungsjahr:	2015
Ort der Veröffentlichung:	Mannheim [u.a.]
Auflage:	Version April 2015
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Außerfakultäre Einrichtungen > GESS - CDSB (BWL) Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzierung (Theissen 2009-) Fakultät für Betriebswirtschaftslehre > Internat. Finanzierung (Ruenzi 2009-)
Fachgebiet:	330 Wirtschaft
Abstract:	Recent academic research documents that (i) U.S. equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses out-of-sample using international mutual fund data from 16 different countries. Surprisingly, we obtain contrary results: Based on our worldwide sample mutual funds underperform by a statistically significant -0.4% during months of economic downturn and funds with high recession alphas charge low fees to investors. We provide evidence that recession underperformance can be explained by fund managers' forced excessive trading.