RT Journal Article
T1 The relation between fees and return predictability in the mutual fund industry
A1 Vidal, Marta
A1 Vidal-Garcia, Javier
A1 Lean, Hooi Hooi
A1 Salah Uddin, Gazi
AB We propose and test a methodological framework to examine the relation between mutual fund fees and return predictability. Gil-Bazo and Ruiz-Verdu (2009) drew attention to the puzzling fact that funds with worse beforefee performance charge higher fees. We make another contribution to the literature about the market for equity mutual funds: we find strong evidence of predictability for mutual fund fees. Funds with both positive and negative relations with fees show strong evidence of negative return predictability for their fees. Our findings are robust to alternative estimation methods and under the assumption of conditionally heteroskedastic stock returns. Our results also show that conditioning information (e.g. dividend yield, t-bill yield, default spread and term spread) are useful in selecting funds with superior performance and are valuable for asset allocation decisions
PB ELSEVIER
SN 0264-9993
YR 2015
FD 2015
LK https://hdl.handle.net/20.500.14352/110382
UL https://hdl.handle.net/20.500.14352/110382
LA eng
NO Vidal, M., Vidal-Garcia, J., Lean, H. & Salah Uddin, G. (2015). The relation between fees and return predictability in the mutual fund industry. Economic Modelling, 47, 260-270.
DS Docta Complutense
RD 4 abr 2025