Template-type: ReDIF-Paper 1.0
Author-Name: Takato Hiraki
Author-Name-First: Takato
Author-Name-Last: Hiraki
Author-Email: hiraki@ms.kuki.tus.ac.jp
Author-Workplace-Name: Tokyo University of Science
Author-Workplace-Homepage: http://www.tus.ac.jp/
Author-Name: Ming Liu
Author-Name-First: Ming
Author-Name-Last: Liu
Author-Email: mliu@iuj.ac.jp
Author-Workplace-Name: International University of University
Author-Workplace-Homepage: http://www.iuj.ac.jp/
Author-Name: Xue Wang
Author-Name-First: Xue
Author-Name-Last: Wang
Author-Workplace-Name: Renmin University of China
Author-Email: xuewang@ruc.edu.cn
Author-Workplace-Homepage: http://english.ruc.edu.cn/en/
Title: Country and Industry Concentration and the Performance of International Mutual Funds
Abstract: We examine the relationship between portfolio country versus industry concentration and performance using a hand-matched data set of international equity funds. When sorted by concentration measures, funds in the most concentrated quintile outperform the diversified quintile by 0.16% and 0.30% monthly in country and industry dimensions, respectively. Further analysis shows that the superior performance of concentrated funds is largely driven by industry rather than country concentration, suggesting the existence of global industry private information. Finally, we show that industry-concentrated funds rotate top-holding industries less frequently than their diversified counterparts and the industries they purchase subsequently outperform the industries they sell.
Classification-JEL: H21, H30, D64, I24
Length: 40 pages
Creation-Date: 2013-08
Number: EMS_2013_12
File-URL: https://www.iuj.ac.jp/workingpapers/index.cfm?File=EMS_2013_12.pdf
File-Format: Application/pdf
File-Function: First version, 2013
File-Size: 776KB
Keywords: Portfolio Concentration, International Mutual Funds
Handle: RePEc:iuj:wpaper:EMS_2013_12