Skip Navigation


Review of Finance Advance Access originally published online on October 16, 2007
Review of Finance 2007 11(4):633-661; doi:10.1093/rof/rfm029
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
11/4/633    most recent
rfm029v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Annaert, J.
Right arrow Articles by Van Campenhout, G.
Right arrow Search for Related Content
Related Collections
Right arrow G23 - Pension Funds; Other Private Financial Institutions
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Copyright © The Author 2007. Published by Oxford University Press on behalf of the European Finance Association.

Time Variation in Mutual Fund Style Exposures*

Jan Annaert1 and Geert Van Campenhout2

1 University of Antwerp
2 K.U. Brussel, K.U. Leuven

Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the assumption that style exposures are time-invariant. We apply results on break tests developed in Bai and Perron (1998, 2003) to test for style breaks. We find strong evidence against the hypothesis of constant time exposures in daily return data for European equity funds. All funds exhibit at least one break, and 60% exhibit more than one break. We show that the main reason for style breaks is the mutual funds' reliance on conditional investment strategies based on public information and volatility estimates.

JEL Classification: C22, C52, G11, G20

* We thank the participants of the 2002 EFA Doctoral Tutorial for their comments. We are also grateful to the editor and anonymous referees for their insightful comments.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.