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Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management

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  • Luis Ferruz
  • Javier Nievas
  • Maria Vargas

Abstract

In this work, we evaluate the use of public and private information by Spanish fund managers by means of an analysis of their traditional and conditional performance. Furthermore, we repeat this analysis for various fund subsets compiling their different characteristics, which allows us to determine the impact of diverse effects on performance. In addition, we restrict this analysis to the fund subset for which public information variables show a high predictive power. Prior to the model application, we develop an analysis of the integration order of variables and of multi-collinearity to assure models work well.

Suggested Citation

  • Luis Ferruz & Javier Nievas & Maria Vargas, 2008. "Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management," Applied Financial Economics, Taylor & Francis Journals, vol. 18(16), pages 1319-1331.
    • Handle: RePEc:taf:apfiec:v:18:y:2008:i:16:p:1319-1331
    DOI: 10.1080/09603100701704306
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    References listed on IDEAS

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    1. Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
    2. Kenbata Bangassa, 2000. "Conditional Performance Evaluation: Empirical Evidence From UK Investment Trusts," Working Papers 2000_21, University of Liverpool, Department of Economics.
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