A carregar...
Publicação
Do mutual funds have consistency in their performance?
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 293.32 KB | Adobe PDF |
Orientador(es)
Resumo(s)
Using a comprehensive data set of 714 Chinese mutual funds from 2004 to 2015, the study investigates these funds’ performance persistence by using the Capital Asset Pricing model, the Fama-French three-factor model and the Carhart Four-factor model. For persistence analysis, we categorize mutual funds into eight octiles based on their one year lagged performance and then observe their performance for the subsequent
12 months. We also apply Cross-Product Ratio technique to assess the performance
persistence in these Chinese funds. The study finds no significant evidence of persis- tence in the performance of the mutual funds. Winner (loser) funds do not continue to be winner (loser) funds in the subsequent time period. These findings suggest that future performance of funds cannot be predicted based on their past performance.
Descrição
Palavras-chave
China Consistency Emerging market Mutual fund Performance
Contexto Educativo
Citação
Rao, Zia-ur-Rehman ... [et al.] (2020). "Do mutual funds have consistency in their performance?". Portuguese Economic Journal, 19(2):139-153
Editora
Springer