RT Journal Article
T1 Do liquidity and idiosyncratic risk matter?: evidence from the european mutual fund market
A1 Vidal-Garcia, Javier
A1 Vidal, Marta
A1 Khuong Nguyen, Duc
AB This paper examines the interaction of idiosyncratic risk, liquidity and return across time in determining fund performance, as well as across investment style portfolios of European mutual funds. This study utilizes a unique data set including returns for equity mutual funds registered in six European countries. Overall, using monthly data, we find that both liquidity and idiosyncratic risk are relevant in determining mutual fund returns. Our results are robust across different model specifications. We show that model specifications up to six factors are useful as these risk factors capture different aspects in the cross-section of mutual funds returns. The evidence regarding mutual funds subgroups is strongly in favor of the significance of liquidity, and idiosyncratic risk to a lesser extent, as risk factors. Even if liquidity and idiosyncratic risk are considered at the same time, one factor is not significantly decreasing the importance of the other factor.
PB SPRINGER
SN 0924-865X
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/109993
UL https://hdl.handle.net/20.500.14352/109993
LA eng
NO Vidal-García, J., Vidal, M. & Nguyen, D.K. (2016). Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market. Review of Quantitative Finance and Accounting, 47, 213–247.
DS Docta Complutense
RD 7 abr 2025