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oai:docta.ucm.es:20.500.14352/1099912025-03-18T11:46:40Zcom_20.500.14352_14col_20.500.14352_15
Docta Complutense author Vidal-Garcia, Javier author Vidal, Marta 2024-11-05T12:29:34Z 2024-11-05T12:29:34Z 2014 Vidal-Garcia, J. & Vidal, M. (2014). Seasonality and idiosyncratic risk in mutual fund performance. European Journal of Operational Research, 233(3), 613-624. 0377-2217 10.1016/j.ejor.2013.09.011 https://hdl.handle.net/20.500.14352/109991 1872-6860 http://dx.doi.org/10.1016/j.ejor.2013.09.011 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. eng Attribution-NonCommercial-NoDerivatives 4.0 International Seasonality and idiosyncratic risk in mutual fund performance journal article 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URL https://docta.ucm.es/bitstreams/40be85d2-e427-46de-836b-412e81afdd32/download File MD5 63e9b748e964a2200030e4b0a39839c6 457444 application/pdf Seasonality and idiosyncratic risk in mutual fund performance.pdf URL https://docta.ucm.es/bitstreams/1bf6f17d-d6b1-49da-a2b2-4fc924953ceb/download File MD5 6dd928574513e46b34d7842c4ff2e937 234031 application/pdf Seasonality and idiosyncratic risk in mutual fund performance (paper).pdf URL https://docta.ucm.es/bitstreams/c754e17b-9a85-46b0-ad9e-271cbcbf696a/download File MD5 6dae067c98f4e5ce1916d161c1a71d84 82601 text/plain Seasonality and idiosyncratic risk in mutual fund performance (paper).pdf.txt