Work

Variation in the value of active share across regions of investments: Evidence from global equity funds

Year: 2025

Type: article

Abstract: Using a worldwide sample of 3250 global equity funds, we provide out-of-sample evidence of active share as a strong return predictor. However, a global fund’s within-region active share predicts superior performance in Europe and Asia-Pacific, but not in the United States. We reconcile this difference by showing that highly active global managers (whether based in the U.S. or elsewhere) have outperformed both in U.S. and international markets primarily when they are also betting on equity anomalies. The weak return predictability of active share alone in the U.S. stems from domestic anomalies and is not generalizable to global markets.

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2025.107545

Authors: Markus Broman, Jon Fulkerson

Institutions: Ohio University, University of Dayton

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,340

Funder: Ohio University