liu.seSearch for publications in DiVA
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
The short-term persistence of international mutual fund performance
University of Valladolid, Spain.
University of Complutense Madrid, Spain.
University of Paris Est, France.
Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Nationalekonomi. Linköpings universitet, Filosofiska fakulteten.
2016 (engelsk)Inngår i: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 52, nr part B, s. 926-938Artikkel i tidsskrift (Fagfellevurdert) Published
Resurstyp
Text
Abstract [en]

This paper examines the short-term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample of 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country for the following quarter. We find statistically and economically significant performance persistence that is more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon. (C) 2015 Elsevier B.V. All rights reserved.

sted, utgiver, år, opplag, sider
ELSEVIER SCIENCE BV , 2016. Vol. 52, nr part B, s. 926-938
Emneord [en]
Mutual funds; Performance persistence; Portfolio management; Factor models
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-124486DOI: 10.1016/j.econmod.2015.10.031ISI: 000367414900054OAI: oai:DiVA.org:liu-124486DiVA, id: diva2:899694
Tilgjengelig fra: 2016-02-02 Laget: 2016-02-01 Sist oppdatert: 2017-11-30

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst

Personposter BETA

Uddin, Gazi Salah

Søk i DiVA

Av forfatter/redaktør
Uddin, Gazi Salah
Av organisasjonen
I samme tidsskrift
Economic Modelling

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 227 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf