Do mutual funds have consistency in their performance?
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , , |
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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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 |
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1799131141213519872 |