The Performance of European Index Funds and Exchange-Traded Funds

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32 Citations (Scopus)


European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least on par with fund expenses. Dividend taxes also explain performance differences between funds that track different benchmarks and time variation in fund performance. Our results imply that not only fund expenses, but also dividend taxes can result in a substantial drag on mutual fund performance.
Original languageEnglish
Pages (from-to)649-662
Number of pages14
JournalEuropean Financial Management
Issue number4
Publication statusPublished - 2012


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