Short-Term Persistence in Mutual Fund Performance
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A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
No Canadian affiliation. An affiliation-only frame — the usual design — would never have seen this work. It is one of the works that make the case for inverting the frame.
Abstract
We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top decile in the post-ranking quarter is 39 basis points. The post-ranking abnormal return disappears when funds are evaluated over longer periods. These results suggest that superior performance is a short-lived phenomenon that is observable only when funds are evaluated several times a year.
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The record
- Venue
- Review of Financial Studies
- Topic
- Financial Markets and Investment Strategies
- Field
- Economics, Econometrics and Finance
- Canadian institutions
- —
- Funders
- —
- Keywords
- DecileEconometricsRanking (information retrieval)Mutual fundEconomicsPersistence (discontinuity)Market timingStock (firearms)Basis pointQuarter (Canadian coin)Term (time)Passive managementStatisticsFinancial economicsActuarial scienceMathematicsMonetary economicsGeographyComputer scienceBondFinanceFund of funds
- Has abstract in OpenAlex
- yes