Do mutual funds have consistency in their performance?

Detalhes bibliográficos
Autor(a) principal: Rao, Zia-ur-Rehman
Data de Publicação: 2020
Outros Autores: Tauni, Muhammad Zubair, Ahsan, Tanveer, Umar, Muhammad
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/20067
Resumo: 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.
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spelling Do mutual funds have consistency in their performance?ChinaConsistencyEmerging marketMutual fundPerformanceUsing 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.SpringerRepositório da Universidade de LisboaRao, Zia-ur-RehmanTauni, Muhammad ZubairAhsan, TanveerUmar, Muhammad2020-05-06T13:27:51Z2020-052020-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/20067engRao, Zia-ur-Rehman ... [et al.] (2020). "Do mutual funds have consistency in their performance?". Portuguese Economic Journal, 19(2):139-1531617-982X (Print)10.1007/s10258-019-00163-2metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-06-25T01:30:39Zoai:www.repository.utl.pt:10400.5/20067Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:04:52.777676Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Do mutual funds have consistency in their performance?
title Do mutual funds have consistency in their performance?
spellingShingle Do mutual funds have consistency in their performance?
Rao, Zia-ur-Rehman
China
Consistency
Emerging market
Mutual fund
Performance
title_short Do mutual funds have consistency in their performance?
title_full Do mutual funds have consistency in their performance?
title_fullStr Do mutual funds have consistency in their performance?
title_full_unstemmed Do mutual funds have consistency in their performance?
title_sort Do mutual funds have consistency in their performance?
author Rao, Zia-ur-Rehman
author_facet Rao, Zia-ur-Rehman
Tauni, Muhammad Zubair
Ahsan, Tanveer
Umar, Muhammad
author_role author
author2 Tauni, Muhammad Zubair
Ahsan, Tanveer
Umar, Muhammad
author2_role author
author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Rao, Zia-ur-Rehman
Tauni, Muhammad Zubair
Ahsan, Tanveer
Umar, Muhammad
dc.subject.por.fl_str_mv China
Consistency
Emerging market
Mutual fund
Performance
topic China
Consistency
Emerging market
Mutual fund
Performance
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020-05-06T13:27:51Z
2020-05
2020-05-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/20067
url http://hdl.handle.net/10400.5/20067
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Rao, Zia-ur-Rehman ... [et al.] (2020). "Do mutual funds have consistency in their performance?". Portuguese Economic Journal, 19(2):139-153
1617-982X (Print)
10.1007/s10258-019-00163-2
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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