http://repub.eur.nl/res/aut/13712/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/37685/ 2012-09-01T00:00:00Z European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least on par with fund expenses. Dividend taxes also explain performance differences between funds that track different benchmarks and time variation in fund performance. Our results imply that not only fund expenses, but also dividend taxes can result in a substantial drag on mutual fund performance. http://repub.eur.nl/res/pub/32021/ 2012-03-05T00:00:00Z We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns. At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques. http://repub.eur.nl/res/pub/25718/ 2012-02-01T00:00:00Z Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies' profitability can largely be attributed to excessively trading in small cap stocks. Limiting the stock universe to large cap stocks significantly reduces trading costs. Applying a more sophisticated portfolio construction algorithm to lower turnover reduces trading costs even further. Our finding that reversal strategies generate 30-50 basis points per week net of trading costs poses a serious challenge to standard rational asset pricing models. Our findings also have important implications for the understanding and practical implementation of reversal strategies. http://repub.eur.nl/res/pub/23497/ 2011-09-01T00:00:00Z We document persistence in the performance of emerging market equity funds and find several notable differences compared to US equity funds. First, the contribution of winner funds to the return spread between winner and losers is substantially larger for emerging market funds. Second, only a small portion of the return spread between winners and losers can be attributed to momentum effects in emerging markets. Third, winner funds in emerging markets generate returns that are sufficiently large enough to cover their expenses. Overall, our findings suggest that emerging market funds generally display better performance than US funds. http://repub.eur.nl/res/pub/22252/ 2011-06-01T00:00:00Z Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects. http://repub.eur.nl/res/pub/20951/ 2011-01-01T00:00:00Z This paper investigates the relation between portfolio concentration and the performance of global equity funds. Concentrated funds with higher levels of tracking error display better performance than their more broadly diversified counterparts. We show that the observed relation between portfolio concentration and performance is mostly driven by the breadth of the underlying fund strategies; not just by fund managers' willingness to take big bets. Our results indicate that when investors strive to select the best-performing funds, they should not only consider fund managers' tracking-error levels. More important is that they take into account the extent to which fund managers carefully allocate their risk budget across multiple investment strategies and have concentrated holdings in multiple market segments simultaneously. http://repub.eur.nl/res/pub/23275/ 2011-01-01T00:00:00Z Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects. http://repub.eur.nl/res/pub/39964/ 2010-01-01T00:00:00Z Congratulations! You are a lucky winner! All too often we receive email messages like these in our inbox and they invariably turn out to be nothing but a scam. But why be lucky? For the manager, the financial equivalent of winning is in outperforming benchmarks or the markets, preferably through the application of skill, insight and experience, not pure luck. http://repub.eur.nl/res/pub/20955/ 2009-11-01T00:00:00Z REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to performance attribution models for REIT portfolios. Using this factor, this study finds that REIT momentum explains a great deal of the abnormal returns that actively managed REIT mutual funds earn in aggregate. Accounting for exposure to REIT momentum also materially influences cross-sectional comparisons of the performances of REIT mutual funds. This study has important implications for performance evaluation, alpha--beta separation, and manager selection and compensation. http://repub.eur.nl/res/pub/19481/ 2009-03-01T00:00:00Z We show that multifactor performance estimates for mutual funds suffer from systematic biases and argue that these biases are a result of miscalculating the factor premiums. Because the factor proxies are based on hypothetical stock portfolios and do not incorporate transaction costs, trade impact, and trading restrictions, the factor premiums are either over- or underestimated. We argue that factor proxies based on mutual fund returns rather than on stock returns provide better benchmarks to evaluate professional money managers. http://repub.eur.nl/res/pub/13584/ 2008-04-01T00:00:00Z We investigate persistence in the relative performance of 3549 bond mutual funds from 1990 to 2003. We show that bond funds that display strong (weak) performance over a past period continue to do so in future periods. The out-of-sample difference in risk-adjusted return between the top and bottom decile of funds ranked on past alpha exceeds 3.5 percent per year. We demonstrate that a strategy based on past fund returns earns an economically and statistically significant abnormal return, suggesting that bond fund investors can exploit the observed persistence. Our results are robust to a wide range of model specifications and bootstrapped test statistics. http://repub.eur.nl/res/pub/9398/ 2007-03-08T00:00:00Z Joop Huij was born in Amsterdam on August 11, 1979. He attended the Marnix Gymnasium in Rotterdam, at which he obtained a Gymnasium diploma (Dutch classical pre-university education) in 1997. From 1997 to 2002 Joop studied at Erasmus University Rotterdam. In 2002 he received his Master's degree in Informatics & Economics with appellation cum laude. In November 2002 he joined the Department of Financial Management of RSM Erasmus University as a PhD Candidate. His PhD trajectory was supported by the Erasmus Research Institute of Management (ERIM). He presented his research at several international conferences and seminars, including the 2003 OxMetrics Conference in London, the 2005 Eastern Finance Association meeting in Norfolk, the 2005 Financial Management Association meeting in Chicago, and the 2006 European Finance Association meeting in Zurich. The article version of the Chapter Cross-sectional Learning and Shortrun Persistence in Mutual Fund Performance" of his dissertation is accepted for publication in the Journal of Banking & Finance. During his PhD trajectory Joop visited London Business School and Vanderbilt University's Owen Graduate School of Management. Joop's teaching experience include Bachelor and Master courses in the (International) Business Administration programme as well as supervision of Bachelor and Master theses at RSM Erasmus University. Currently, Joop holds a position as Assistant Professor of Finance at RSM Erasmus university. His research interests include mutual funds, alternative investments, and empirical asset pricing. http://repub.eur.nl/res/pub/12681/ 2007-03-01T00:00:00Z Using monthly return data of more than 6400 US equity mutual funds we investigate short-run performance persistence over the period 1984–2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios’ out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds. http://repub.eur.nl/res/pub/12670/ 2007-02-26T00:00:00Z This paper investigates the presence of spillover effects of marketing in mutual fund families. We find that funds with high marketing expenses generate spillovers, and enhance cash inflows to family members with low marketing expenses. In particular, low-marketing funds that are operated by a family with high marketing expenses have substantially larger inflows after positive returns than otherwise similar funds that are operated by a family with low marketing expenses, while they have smaller outflows after negative returns. One way to interpret the spillovers is that they are a by-product of individual fund marketing whereby the entire family is made more visible to investors. An alternative explanation of this observation is that funds with low marketing expenses are directly subsidized by family members with high marketing expenses. We develop and perform a set of tests to evaluate these two alternative hypotheses. The results of all tests support the subsidization hypothesis, and suggest that at least part of the spillovers can be attributed to favoritism. These results suggest that conflicts of interest between investors and fund families have been exacerbated by competition in the mutual fund industry. http://repub.eur.nl/res/pub/12667/ 2007-01-01T00:00:00Z We show that multifactor performance estimates for mutual funds suffer from systematic biases, and argue that these biases are a result of miscalculating the factor premiums. Because the factor proxies are based on hypothetical stock portfolios and do not incorporate transaction costs, trade impact, and trading restrictions, the factor premiums are either over- or underestimated. We argue that factor proxies based on mutual fund returns rather than stock returns provide better benchmarks to evaluate professional money managers. http://repub.eur.nl/res/pub/12669/ 2006-10-10T00:00:00Z Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds. http://repub.eur.nl/res/pub/16927/ 2004-01-01T00:00:00Z Door de stagnerende prijsontwikkelingen op de woningmarkt is de discussie over de prijsontwikkeling opgelaaid. De woningmarkt wordt in deze discussie onterecht als één geheel beschouwd.