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