A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe

37 Pages Posted: 11 Mar 2016 Last revised: 8 Sep 2017

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

Date Written: March 10, 2016

Abstract

The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In this article, we examine the short-term persistence in mutual fund performance in Europe between 1990 and 2015. Using a sample of daily survivorship bias-free data on the five most important European mutual fund countries, we find statistically significant persistence in the post-ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top-decile and bottom-decile mutual funds.

Keywords: Mutual Fund; Performance Persistence; Market Timing; Factor Models

JEL Classification: G11, G12

Suggested Citation

Vidal-García, Javier and Vidal, Marta and Boubaker, Sabri, A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe (March 10, 2016). Available at SSRN: https://ssrn.com/abstract=2746254 or http://dx.doi.org/10.2139/ssrn.2746254

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

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