|
|
|
|
||||
|
||||
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund PerformanceMarno VerbeekErasmus University - Rotterdam School of Management; Erasmus Research Institute of Management (ERIM); Netspar Joop HuijErasmus University - Rotterdam School of Management; Robeco Quantitative Strategies; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM) October 10, 2006 ERIM Research Paper Series Abstract: Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.
Number of Pages in PDF File: 40 Keywords: Mutual funds, performance persistence, Bayesian analysis JEL Classification: G11, G23, C11 working papers seriesDate posted: July 23, 2004Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.344 seconds
