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

See all articles by Javier Vidal-García

Javier Vidal-García

Harvard University; Complutense University Madrid

Abstract

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

Suggested Citation

Vidal-García, Javier, The Persistence of European Mutual Fund Performance. Research in International Business and Finance. Volume 28, May 2013, p. 45–67.. Available at SSRN: https://ssrn.com/abstract=1997474 or http://dx.doi.org/10.2139/ssrn.1997474

Javier Vidal-García (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Complutense University Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

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