Cash Holdings and the Performance of European Mutual Funds
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2018-02
Author(s)
Abstract (De)
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 inuenced by a fund's fee structure, past ows and ow 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) outperform their low abnormal cash peers by risk-adjusted 0.96% per annum.
Language
English
Keywords
Cash holdings
mutual funds
performance evaluation
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Publisher
SoF-HSG
Volume
2018/07
Pages
13
Subject(s)
Eprints ID
253726
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open.access
Name
18_07_Weigert et al_Cash Holding an the Performance of European Mutual Funds.pdf
Size
346.21 KB
Format
Adobe PDF
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