全球智库信息集成服务系统(G2TT): Did Mutual Fund Return Persistence Persist?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w26707
来源ID	Working 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
URL	https://www.nber.org/papers/w26707
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/584381
推荐引用方式 GB/T 7714	James J. Choi,Kevin Zhao. Did Mutual Fund Return Persistence Persist?. 2020.