Bond Fund Disappearance: What’s Return Got to Do with it?

47 Pages Posted: 18 Jun 2011 Last revised: 14 May 2012

Martin Rohleder

University of Augsburg

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Marco Wilkens

University of Augsburg

Date Written: May 14, 2012

Abstract

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite the dramatic changes in the market over the last 20 years. We fill this gap by analyzing survivorship bias and disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns have minor influence on disappearance. However, we find statistically significant and economically relevant survivorship bias, in particular for certain asset classes like corporate bond funds.

Keywords: fund disappearance, bond mutual fund performance, survivorship bias

JEL Classification: G11, G12

Suggested Citation

Rohleder, Martin and Scholz, Hendrik and Wilkens, Marco, Bond Fund Disappearance: What’s Return Got to Do with it? (May 14, 2012). Available at SSRN: https://ssrn.com/abstract=1864423 or http://dx.doi.org/10.2139/ssrn.1864423

Martin Rohleder

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4120 (Phone)

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

Marco Wilkens (Contact Author)

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

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