On the robustness of persistence in mutual fund performance
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Altres documents de l'autoria: Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Tortosa-Ausina, Emili
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Mostra el registre complet de l'elementcomunitat-uji-handle:10234/9
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http://dx.doi.org/10.1016/j.najef.2016.01.002 |
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Títol
On the robustness of persistence in mutual fund performanceData de publicació
2016Editor
ElsevierCita bibliogràfica
MATALLÍN-SÁEZ, Juan Carlos; SOLER-DOMÍNGUEZ, Amparo; TORTOSA-AUSINA, Emili. On the robustness of persistence in mutual fund performance. The North American Journal of Economics and Finance, 2016, vol. 36, p. 192-231.Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.sciencedirect.com/science/article/pii/S1062940816000036Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage ... [+]
This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage we apply contingency tables and transition matrices in accordance with previous literature. Results show how these methodologies are biased towards finding evidence of persistence too easily. In the second stage, we take a recursive portfolio approach, which assesses the performance of investing by following recommendations based on past performance. Results show the importance of both estimating persistence by distinguishing among fund style groups, and considering the cross-sectional significance of recursive portfolios. In general, our results support evidence of persistence in mutual fund performance, especially for the case of the best mutual funds. However, this evidence does not hold for the most recent subperiod, 2008–2015. Empirical evidence of persistence is conditioned by the sample period, a result that could explain the inconclusive results found in the literature [-]
Publicat a
The North American Journal of Economics and Finance, 2016, vol. 36Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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