TAILIEUCHUNG - Investing in mutual funds when returns are predictable

This paper examines some of the initiatives that are currently under way around the world to assist and encourage pension funds to help finance green growth projects. It is drafted with a view to inform current OECD work on engaging the private sector in financing green growth. Different financing mechanisms are outlined, and suggestions made as to what role governments in general, and pension fund regulatory and supervisory authorities in particular, can play in supporting pension funds investment in this sector. The paper concludes with the following policy recommendations: provide supportive environmental policy backdrop; create right investment vehicles and foster. | Available online at ELSEVIER Journal of Financial Economics 81 2006 339-377 JOURNALOF Financial ECONOMICS locate jfec Investing in mutual funds when returns are predictable Doron Avramov Russ Wermers . Smith School of Business University of Maryland College Park MD 20742 USA Received 18 August 2004 received in revised form 22 April 2005 accepted 26 May 2005 Available online 14 February 2006 Abstract This paper forms investment strategies in US domestic equity mutual funds incorporating predictability in i manager skills ii fund risk loadings and iii benchmark returns. We find predictability in manager skills to be the dominant source of investment profitability long-only strategies that incorporate such predictability outperform their Fama-French and momentum benchmarks by 2 to 4 year by timing industries over the business cycle and by an additional 3 to 6 year by choosing funds that outperform their industry benchmarks. Our findings indicate that active management adds significant value and that industries are important in locating outperforming mutual funds. 2006 Elsevier . All rights reserved. JEL classification G11 G12 C11 Keywords Equity mutual funds Asset allocation Time-varying managerial skills We thank seminar participants at Copenhagen Business School George Washington University Inquire-UK and Inquire-Europe Joint Spring Conference Institute for Advanced Studies and the University of Vienna joint seminar McGill Conference on Global Asset Management Performance Stockholm Institute for Financial Research SIFR Tel Aviv University University of California Irvine The First CGA Manitoba Finance Conference 10th Mitsui Life Symposium on Global Financial Markets at the University of Michigan University of Southern California University of Toronto University of Washington Washington University at St. Louis and especially an anonymous referee for useful comments. All errors are ours. Corresponding author. Tel. 1 301 405

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