Frank Graef

Graef, Frank

Graef

Frank

Frank Graef

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Cash holdings and the performance of European mutual funds
(Elsevier, 2019) Graef, Frank; Vogt, Pascal; Vonhoff, Volker; Weigert, Florian [in: Finance Research Letters]
We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund’s fee structure, past flows and flow volatility, and a fund’s investment strategy. EU Funds with cash holdings in excess of the level predicted by fund attributes (i.e., high abnormal cash funds) earn higher risk-adjusted returns of 0.48% than their low abnormal cash peers over the subsequent six-months period. However, this outperformance disappears after 12–months.
01A - Beitrag in wissenschaftlicher Zeitschrift