The Persistence of European Mutual Fund Performance
Research in International Business and Finance. Volume 28, May 2013, p. 45–67.
35 Pages Posted: 1 Feb 2012 Last revised: 8 Nov 2012
This paper examines the performance and persistence in performance of style-consistent European equity mutual funds between 1988 and 2010. Using a large survivorship bias-free sample for six European countries, we document strong evidence of persistence in benchmark-adjusted returns over 1-year time periods as well as over longer periods. We find statistically and economically significant performance persistence for time horizons of up to 36 months, although persistence is much more pronounced for the top and bottom performers. Thus, past performance of European mutual funds have explanatory power for future performance and investors can obtain useful evidence from past performance data.
Keywords: Mutual Funds, Performance Persistence, Portfolio Management, Style Analysis
JEL Classification: G11, G12
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