Persistence in Mutual Fund's Performance
Abstract:
One of the most considerable concerns of investors in capital market is the phenomena of fund selection for investment. Hence, it is required to know that whether investors could predict future performance base on past performance properly; in other words wheatear investors’ trusting on past performance is reasonable or not. Answering these kinds of questions leads us to a complete investigation on the performance persistence in sequential periods. Thus, in this paper a sample of 31 active mutual funds during 21th of June of 2011 to 21th of June of 2013 has been chosen in order to evaluate the performance persistence of equity funds. Through an alpha approach & assuming that each fund’s abnormal return consists of two factors; stock selection & market timing, the result of a panel data regression shows that there exists short term performance persistence. Also, in comparison to the losers, it is confirmed that winner funds have much more persistence.
Keywords:
Language:
Persian
Published:
Journal of Securities Exchange, Volume:7 Issue: 28, 2015
Page:
119
https://magiran.com/p1419401
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