Short-Term Persistence in Mutual Fund Performance

We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top deci...

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Veröffentlicht in:	The Review of financial studies 2005-07, Vol.18 (2), p.569-597
Hauptverfasser:	Nicolas P. B. Bollen, Busse, Jeffrey A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Econometrics Economic models Finance Financial portfolios Investment policy Investors Long-term analysis Mutual funds Performance evaluation Portfolio management Price momentum Quantiles Quarterly estimates Short-term analysis Standard error Statistical significance Statistics Stock returns Studies Time series
Online-Zugang:	Volltext
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