The Short-Term Persistence of International Mutual Fund Performance

39 Pages Posted: 17 Jul 2014 Last revised: 15 Dec 2015

See all articles by Javier Vidal-García

Javier Vidal-García

Harvard University; Complutense University Madrid

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Sabri Boubaker

South Champagne Business School; University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion

Gazi Salah Uddin

Linkoping University - Department of Management and Engineering Division

Date Written: October 1, 2015

Abstract

This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country the following quarter. We find statistically and economically significant performance persistence, although persistence is much more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon.

Keywords: Mutual Fund; Performance Persistence; Portfolio Management; Factor Models

JEL Classification: G11, G12

Suggested Citation

Vidal-García, Javier and Vidal, Marta and Boubaker, Sabri and Uddin, Gazi Salah, The Short-Term Persistence of International Mutual Fund Performance (October 1, 2015). Economic Modelling. Volume 52, Part B, January 2016, Pages 926–938.. Available at SSRN: https://ssrn.com/abstract=2467003 or http://dx.doi.org/10.2139/ssrn.2467003

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

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670
Spain

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223
Spain

Sabri Boubaker

South Champagne Business School ( email )

217 avenue Pierre Brossolette BP 710
Troyes, Troyes 10002
France
+33 3 25 71 22 31 (Phone)
+33 3 25 49 22 17 (Fax)

HOME PAGE: http://www.get-formation.fr/chercheurs/sabri-boubaker

University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion ( email )

61 Avenue du General de Gaulle
94010 Creteil
France

HOME PAGE: http://www.irg.u-pec.fr/enseignant.php?num=58

Gazi Salah Uddin

Linkoping University - Department of Management and Engineering Division ( email )

Linköping, 581 83
Sweden

Register to save articles to
your library

Register

Paper statistics

Downloads
135
rank
208,243
Abstract Views
836
PlumX Metrics