Autori
Previati, Daniele
Aliano, Mauro
Galloppo, Giuseppe

Titolo
Asian Fund Manager Performance: Factor Specialisation and Financial Crisis Impact
Periodico
Journal of financial management, markets and institutions (Online)
Anno: 2016 - Volume: 8 - Fascicolo: 2 - Pagina iniziale: 145 - Pagina finale: 154

This paper investigates the relation between portfolio concentration and the performance of emerging market equity funds. We focus on Asian emerging markets finding that funds with higher levels of tracking error display lower performance than funds with less diversified portfolios. According to a study conducted previously, overall we found that the local factor market model provides quite a good representation of local average returns for portfolios formed on the basis of size and style factors. On the other hand unlike a number of other preceding studies, we find that Asian (excluding Japan) equity funds with higher levels of tracking error and more concentrated portfolios display lower performance than funds with less diversified portfolios. Moreover, as an additional analysis beyond what has been conducted in previous papers, we also tested the effects of the financial crisis, finding that the main result has not affected by it.



SICI: 2282-717X(2016)8:2<145:AFMPFS>2.0.ZU;2-U
Testo completo: https://www.rivisteweb.it/download/article/10.12831/85434
Testo completo alternativo: https://www.rivisteweb.it/doi/10.12831/85434

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