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Evidence for the seasonality of European equity fund performance

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  • Carlos F. Alves

Abstract

The literature provides broad evidence for the seasonality of stock market returns, but is very scarce regarding the potential seasonality of investment funds performance. Using a sample of 5349 Equity Europe or Equity Eurozone investment funds, this article contributes to fill this gap by providing evidence that investment funds globally exhibit higher performances in the first than in the second 6 months of the year, and that they exhibit negative abnormal performances in the first compared to the intermediate and final months of each quarter. Finally, the article reports a summer holiday effect, such that investment funds outperform negatively in August compared to the other intermediate months of the quarter.

Suggested Citation

  • Carlos F. Alves, 2014. "Evidence for the seasonality of European equity fund performance," Applied Economics Letters, Taylor & Francis Journals, vol. 21(16), pages 1156-1160, November.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:16:p:1156-1160
    DOI: 10.1080/13504851.2014.914137
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    Cited by:

    1. Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
    2. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Diego Víctor Mingo-López, 2021. "On management risk and price in the mutual fund industry: style and performance distribution analysis," Risk Management, Palgrave Macmillan, vol. 23(1), pages 150-171, June.

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