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来源类型Working Paper
规范类型报告
DOI10.3386/w26707
来源IDWorking Paper 26707
Did Mutual Fund Return Persistence Persist?
James J. Choi; Kevin Zhao
发表日期2020-02-03
出版年2020
语种英语
摘要A seminal study of persistence in mutual fund performance is Carhart (1997), who found that U.S. equity mutual funds’ past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We are able to replicate Carhart’s results in his 1963-1993 sample period, but we find that significant performance persistence does not exist in the 1994-2018 period. Even during the 1963-1993 period, performance persistence weakened in later years. The disappearance of significant performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions
URLhttps://www.nber.org/papers/w26707
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/584381
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James J. Choi,Kevin Zhao. Did Mutual Fund Return Persistence Persist?. 2020.
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