Short-term persistence in mutual fund performance

• 成果类型: Article
• 署名作者: Bollen, NPB; Busse, JA
• 署名单位: Emory University; Vanderbilt University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi007
• 发表日期: 2005
• 页码: 569
• 关键词: TIMING ABILITY; MARKET; RISK; returns; portfolios; BEHAVIOR; equilibrium; EFFICIENCY; Managers; winners

摘要

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.