Jensen (1969) does not find that good subsequent performance follows good past performances. Carhart (1992) documents that persistence in expense ratios drives persistence in mutual fund performance.证明了费用比率的持续性推动了共同基金业绩的持续性。 Data Description Mutual fund data Monthly data from ...
performance persistencetime-varying risk exposuresPersistence in mutual fund performance is usually measured by the risk-adjusted returns of the portfolio that is long the top and short the bottom past year return deciles. A key challenge is to properly adjust for the time-varying risk exposures of...
根据式(2)，Carhart模型可以表示为均衡预期收益为E(Rp)=RF+βp,1RMRF+βp,2SMB+βp,3HML+βp,...
performance persistencePolish financial marketThe paper addresses an issue of the performance persistence in the mutual funds market in Poland and consists of three main parts. The first is a review of existing academic evidence of the performance persistence. The second is the analysis of the ...
(1996) find evidence of persistence in mutual fund performance over short-term horizons of one to three years, and attribute the persistence to hot hands or common investment strategies. Grinblatt and Titman (1992), Elton, Gruber, Das, and Hlavka (1993), and Elton, Gruber, Das, and Blake...
Testing for persistence in mutual fund performance and the ex-post veri...cation problem: Evidence from the Greek market. European Journal of Finance, in press.Babalos, V. Caporale, G.M. Kostakis, A. and Philippas, N., 2008, "Testing for persistence in mutual fund performance and the ...
OnPersistenceinMutualFundPerformanceMarkM.CarhartTheJournalofFinance,Vol.52,No.1.(Mar.,1997),pp.57-82.StableURL:http://links.jstor/sici?sici=00..
US mutual fund performanceBayesian panel model time-varying stochastic heteroskedasticityTime-varying covarianceWe provide a Bayesian panel model to consider persistence in US funds' performance while we tackle the important problem of errors in variables. Our modelling departs from prior strong assumptions...
Cross-sectional learning and short-run persistence in mutual fund performance Using monthly return data of more than 6400 US equity mutual funds we investigate short-run performance persistence over the period 1984鈥 2003. We sort fun... J Huij,M Verbeek - 《Journal of Banking & Finance》 被...
mutual fund performancepersistenceUsing the reward-to-VaR approach proposed by Alexander and Baptista (2003), this study investigates the performance persistence of Taiwanese open-end mutual funds from 1999 to 2006. Our empirical findings show that mutual fund returns are not normally distributed and ...