dr. J.J. (Joop) Huij
Joop Huij is Associate Profesor of Finance at Rotterdam School of Management.
His research interests include stock selection strategies, mutual funds and hedge funds, emerging markets, real estate, and fixed-income securities.
His research has been published in journals like Financial Management, Journal of Banking and Finance, Journal of Empirical Finance, Financial Analyst Journal, European Financial Management, and Emerging Markets Review.
PhD Track New Insights into Mutual Funds: Performance and Family Strategies
New Insights into Mutual Funds is a bundle of four empirical studies on mutual funds. In the first two papers, we investigate persistence in risk-adjusted fund returns. We show that the returns of both equity and bond mutual funds are persistent. Funds that display strong (weak) performance over a past period continue to do so in future periods. More importantly, we demonstrate that some fund managers are able to outperform a strategy that invests in passive indexes for a short period of time. These results add new insights to long-running debates on the benefits of actively managed funds vis-à-vis passive portfolios. In the third paper, we test the cross-sectional explanatory power of multi-factor models to explain mutual fund returns. We find that performance estimates resulting from these models are biased because the factor proxies do not incorporate transaction costs and trading restrictions. We suggest that factor proxies based on mutual fund returns rather than stock returns provide better benchmarks to evaluate professional money managers. Finally, in the fourth paper we investigate the impact of fund marketing on investor flows to other funds in the family. We find that high-marketing funds generate spillovers, and enhance cash inflows to low-marketing funds in the family. An explanation of this observation is that funds with low marketing expenses are directly subsidized by family members with high marketing expenses. Our results indicate that at least part of the spillovers can be attributed to favoritism. These findings suggest that conflicts of interest between investors and fund families have been exacerbated by competition in the mutual fund industry.
- Keywords
- Professional asset management, investment analysis, mutual funds, bond funds, performance evaluation, performance persistence, benchmark misspecification, marketing, cross-subsidization, favoritism
- Time frame
- 2002 - 2007
Publications
Article (18)
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Academic (15)
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Huij, J., Kyosev, G., Hanauer, M., & Lansdorp, SD. (2020). Does Earnings Growth Drive the Quality Premium? Journal of Banking and Finance, 114, Article 105785. https://doi.org/10.1016/j.jbankfin.2020.105785
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Gelderen, E., Huij, J., & Kyosev, G. (2019). Factor Investing from Concept to Implementation. The Journal of Portfolio Management, 45(3), 125-140. https://doi.org/10.3905/jpm.2019.45.3.125
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Huij, J., & de Groot, WA. (2018). Are the Fama-French Factors really Compensation for Distress Risk? Journal of International Money and Finance, 86(september), 50-69. https://doi.org/10.1016/j.jimonfin.2018.03.002
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Huij, J., & Gelderen, E. (2014). Academic Knowledge Disemmination in the Mutual Fund Industry. The Journal of Portfolio Management, 40(4), 157-167. https://doi.org/10.3905/jpm.2014.40.4.157
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Blitz, D., Huij, J., Lansdorp, SD., & Verbeek, M. (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16(3), 477-504. https://doi.org/10.1016/j.finmar.2012.10.005
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Blitz, D., Huij, J., & Swinkels, L. (2012). The Performance of European Index Funds and Exchange-Traded Funds. European Financial Management, 18(4), 649-662. https://doi.org/10.1111/j.1468-036X.2010.00550.x
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Huij, J., & de Groot, WA. (2012). Another Look at Trading Costs and Short-Term Reversal Profits. Journal of Banking and Finance, 36(2), 371-382. https://doi.org/10.1016/j.jbankfin.2011.07.015
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Huij, J., & Blitz, D. (2012). Evaluating the Performance of Emerging Markets Equity Exchange-Traded Funds. Emerging Markets Review, 13(2), 149-158. https://doi.org/10.1016/j.ememar.2012.01.004
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Huij, J., & Derwall, JMM. (2011). Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management. Journal of Banking and Finance, 35(1), 155-165. https://doi.org/10.1016/j.jbankfin.2010.07.032
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Blitz, D., Huij, J., & Martens, MPE. (2011). Residual Momentum. Journal of Empirical Finance, 18(3), 506-521. https://doi.org/10.1016/j.jempfin.2011.01.003
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Huij, J., & Post, GT. (2011). On the Performance of Emerging Market Equity Mutual Funds. Emerging Markets Review, 12(3), 238-249. https://doi.org/10.1016/j.ememar.2011.03.001
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Huij, J., & Verbeek, M. (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38(1), 75-102. https://doi.org/10.1111/j.1755-053X.2009.01029.x
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Derwall, JMM., Huij, J., Brounen, D., & Marquering, WA. (2009). REIT Momentum and the Performance of Real Estate Mutual Funds. Financial Analysts Journal, 65(5), 24-34. https://doi.org/10.2469/faj.v65.n5.4
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Huij, J. (2008). Hot Hands in Bond Funds. Journal of Banking and Finance, 32(4), 559-572. https://doi.org/10.1016/j.jbankfin.2007.04.023
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Huij, J., & Verbeek, M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31(3), 973-997. https://doi.org/10.1016/j.jbankfin.2006.08.002
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Professional (3)
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Blitz, D., Houweling, P., Huij, J., Rejeb, S., & Swinkels, L. (2010). Can theoretical risk premiums be captured by investing in passive funds? VBA Journaal, 26(4), 12-15.
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Huij, J., & Brounen, D. (2010). Lucky bets and hot hands - Is your fund manager really performing? RSM Insight, 2(1), 10-11. http://hdl.handle.net/1765/39964
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Brounen, D., & Huij, J. (2004). De Woningmarkt bestaat niet. Economisch-Statistische Berichten, 89(4429), 126-128. http://hdl.handle.net/1765/16927
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Doctoral Thesis (1)
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Internal (1)
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Huij, J. (2007). New Insights into Mutual Funds - Performance and Family Strategies. [Doctoral Thesis, Erasmus University Rotterdam]. Erasmus University Rotterdam (EUR).
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Working paper (1)
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Academic (1)
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Huij, J., Lansdorp, SD., & Verbeek, M. (2012). Managerial Turnover and the Behavior of Mutual Fund Investors
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PhD Tracks (3)
- Role: Co-promotor
- PhD Candidate: Jean-Paul Guyon van Brakel
- Time frame: 2020 -
- Role: Co-promotor
- PhD Candidate: Francesca Caucci
- Time frame: 2022 -
- Role: Co-promotor
- PhD Candidate: Vaibhav Grewal
- Time frame: 2023 -
Events (11)
Award (1)
- ERIM Dissertation Award (2008)
Address
Office: Mandeville Building T08-51
Burgemeester Oudlaan 50
3062 PA Rotterdam
Postbus 1738
3000 DR Rotterdam
Netherlands
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