Scandinavian Working Papers in Economics
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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 385:
Costly Information, Diversification, and International Mutual Fund Performance

Stefan Engström ()

Abstract: Active portfolio management is associated with a costly search for information. This paper provides evidence on how this costly search affects the performance of European-based mutual funds that are actively managed and invest in Asia and Europe. The paper examines both the search for superior stocks by fund managers and the search by unit-linked funds for superior fund managers. Moreover, performance and the impact of geographical distance between the fund and the market are examined.

Keywords: Distance; market timing: portfolio evaluation; style analysis; survivorship bias; (follow links to similar papers)

JEL-Codes: G11; G12; G15; G23; (follow links to similar papers)

29 pages, May 26, 2000, Revised February 4, 2003

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This paper is published as:
Engström, Stefan, (2003), 'Costly Information, Diversification, and International Mutual Fund Performance', Pacific-Basin Finance Journal, Vol. 11, pages 463-482

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