Cash holdings and the performance of European mutual funds
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Author (Corporation)
Publication date
2019
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Type
01A - Journal article
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Parent work
Finance Research Letters
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Volume
29
Issue / Number
Pages / Duration
285-291
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Publisher / Publishing institution
Elsevier
Place of publication / Event location
Amsterdam
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Abstract
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.
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ISBN
ISSN
1544-6123
Language
English
Created during FHNW affiliation
Yes
Strategic action fields FHNW
Publication status
Published
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Peer review of the complete publication
Open access category
Closed
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Citation
Graef, F., Vogt, P., Vonhoff, V., & Weigert, F. (2019). Cash holdings and the performance of European mutual funds. Finance Research Letters, 29, 285–291. https://doi.org/10.1016/j.frl.2018.08.006