RT Journal Article
T1 Seasonality and idiosyncratic risk in mutual fund performance
A1 Vidal-Garcia, Javier
A1 Vidal, Marta
AB This paper examines the relationship between seasonality, idiosyncratic risk and mutual fund returns using multifactor models. We use a large sample containing the return histories of 728 UK mutual funds over a 23-year period to measure fund performance. We present evidence that idiosyncratic risk cannot be eliminated, we also find evidence of seasonality in all fund categories. Specifically, we find a close relation between the seasonality and the end of the tax-year. We document that the idiosyncratic risk puzzle cannot explain seasonality in fund performance in the UK. Although, we do find that idiosyncratic risk can account for the seasonality in the month of April. Thus, the results show a link between the tax-loss selling hypothesis in April and idiosyncratic risk in that month. Finally, we report evidence that idiosyncratic risk is negatively related to expected returns for most fund classes.
PB ELSEVIER
SN 0377-2217
YR 2014
FD 2014
LK https://hdl.handle.net/20.500.14352/109991
UL https://hdl.handle.net/20.500.14352/109991
LA eng
NO Vidal-Garcia, J. & Vidal, M. (2014). Seasonality and idiosyncratic risk in mutual fund performance. European Journal of Operational Research, 233(3), 613-624.
DS Docta Complutense
RD 3 abr 2025