On the robustness of persistence in mutual fund performance
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Scholar |
Otros documentos de la autoría: Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Tortosa-Ausina, Emili
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Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
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http://dx.doi.org/10.1016/j.najef.2016.01.002 |
Metadatos
Título
On the robustness of persistence in mutual fund performanceFecha de publicación
2016Editor
ElsevierCita bibliográfica
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.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S1062940816000036Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
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 [-]
Publicado en
The North American Journal of Economics and Finance, 2016, vol. 36Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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