HOT HANDS IN MUTUAL FUNDS - SHORT-RUN PERSISTENCE OF RELATIVE PERFORMANCE, 1974-1988

• 成果类型: Article
• 署名作者: HENDRICKS, D; PATEL, J; ZECKHAUSER, R
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328883
• 发表日期: 1993
• 页码: 93-130
• 关键词: investment performance; MARKET; equilibrium; returns; MODEL; tests; RISK

摘要

The relative performance of no-load, growth-oriented mutual funds persists in the near term, with the strongest evidence for a one-year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk-adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post-1988 data confirm the finding of persistence.