Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Breloer B, Scholz H, Wilkens M (2014)

Publication Language: English

Publication Type: Journal article

Publication year: 2014

Journal

Journal of Banking & Finance Elsevier

Publisher: Elsevier

Book Volume: 43

Pages Range: 58-77

DOI: 10.1016/j.jbankfin.2014.01.041

Abstract

This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least one of these factors. Including both new factors in performance evaluation clearly impacts results when analyzing (i) the risk-adjusted performance, (ii) the performance persistence of funds, and (iii) luck versus skill in the cross-section of funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single country, regional and sector factors.

Authors with CRIS profile

Bernhard Breloer Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken Hendrik Scholz Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken

Involved external institutions

Universität Augsburg DE Germany (DE)

How to cite

APA:

Breloer, B., Scholz, H., & Wilkens, M. (2014). Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter? Journal of Banking & Finance, 43, 58-77. https://doi.org/10.1016/j.jbankfin.2014.01.041

MLA:

Breloer, Bernhard, Hendrik Scholz, and Marco Wilkens. "Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?" Journal of Banking & Finance 43 (2014): 58-77.

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