Short-term persistence in mutual fund performance

被引:253
作者
Bollen, NPB
Busse, JA
机构
[1] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA
[2] Vanderbilt Univ, Nashville, TN 37240 USA
关键词
D O I
10.1093/rfs/hhi007
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top decile in the post-ranking quarter is 39 basis points. The post-ranking abnormal return disappears when funds are evaluated over longer periods. These results suggest that superior performance is a short-lived phenomenon that is observable only when funds are evaluated several times a year.
引用
收藏
页码:569 / 597
页数:29
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