Vidal, MartaVidal-Garcia, JavierLean, Hooi HooiSalah Uddin, Gazi2024-11-112024-11-112015Vidal, 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, 260-270.0264-999310.1016/j.econmod.2015.02.036https://hdl.handle.net/20.500.14352/110382We 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 decisionsengjournal article1873-6122https://doi.org/10.1016/j.econmod.2015.02.036open accessG10G11G23Mutual fund performanceMutual fund feesReturn predictabilityInvestor's performance sensitivityAdministración de empresasFinanzas5311 Organización y Dirección de Empresas