Review of Quantitative Finance and Accounting

, Volume 35, Issue 3, pp 315–334 | Cite as

Does the size of a fund family matter when choosing an investment strategy? Evidence from spain

  • Luis Ferruz
  • Fernando Muñoz
  • Maria Vargas
Original Research


This paper aims to determine whether the size of a fund family influences investment strategy (stock picking or market timing) in the Spanish mutual fund market. This is a highly concentrated market, being controlled by two banks with a percentage of 46%. The impact of considering time-varying returns and risks on selectivity and market timing results is also assessed. Our results indicate that large management companies follow a market timing strategy, while small management companies are better at stock picking. These results are more obvious when conditional information is included. Additional tests are carried out to check the robustness of our results. We observe that the results obtained for large and small management companies are maintained when we control for fund size and when we introduce additional benchmarks into the timing model. However, when the time period is divided into two subperiods, the results are no longer robust. This may be connected to the evolution of returns in the Spanish market.


Conditional information Market timing Mutual fund families Size of management company Robustness tests Stock picking 

JEL classification




The authors would like to thank seminar participants at the Annual Meeting of the European Financial Management Association (Madrid, 2006) for their helpful comments on an earlier version of this paper. We would also like to thank Wayne Ferson, Manuel José da Rocha Armada and Gonzalo Rubio for their helpful research comments.


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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Facultad de Ciencias Económicas, Departamento de contabilidad y finanzasUniversity of ZaragozaZaragozaSpain

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