Actively Managed Equity Mutual Funds in Emerging Markets
Abstract
In this study, we analyze the performance of mutual fund managers who operate in emerging markets. Emerging stock markets differ from mature markets in significant ways, such as weak prosecution for insider trading, poor corporate governance practices, and a lack of liquidity, which create market inefficiencies that active investment strategies can exploit. We evaluate conditional alphas and multiple measures of liquidity, with a focus on equity funds that invest in emerging markets to achieve abnormal returns. Our analysis shows that smaller funds are significantly impacted by liquidity and that conditioning for public information has a significant effect on the distribution of returns. We find evidence of positive abnormal returns, which suggests that active management in emerging markets can be profitable.
Key Conclusions
Our analysis indicates that smaller mutual funds face substantial constraints due to liquidity shocks in emerging economies. However, by conditioning strategies around public information and navigating these market inefficiencies, active managers can achieve statistically significant positive abnormal returns (alphas), proving that active management remains highly viable outside mature markets.
Interactive Asset Analysis
📊 Interactive Research Dashboard
[Aquí se incrustará el iframe de Power BI o Streamlit]
Predicting Market Microstructure Signals Using Machine Learning
Abstract Summary
Espacio reservado para el resumen de tu investigación en curso. Puedes detallar los modelos (como LSTM o XGBoost) aplicados al análisis de order flow y Transaction Cost Analysis (TCA).
Preliminary Findings
Conclusiones preliminares obtenidas mediante simulaciones de Monte Carlo y análisis predictivo masivo de datos de mercado.