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

Fink, Christopher ; Raatz, Katharina ; Weigert, Florian

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Document Type: Working paper
Year of publication: 2015
Place of publication: Mannheim [u.a.]
Edition: Version April 2015
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSB (Business Studies)
Business School > ABWL u. Finanzierung (Theissen 2009-)
Business School > Internat. Finanzierung (Ruenzi 2009-)
Subject: 330 Economics
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.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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