A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe
37 Pages Posted: 11 Mar 2016 Last revised: 8 Sep 2017
Date Written: March 10, 2016
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: Suggested Citation