Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem
Author | : Vassilios Babalos |
Publisher | : |
Total Pages | : 41 |
Release | : 2011 |
ISBN-10 | : OCLC:1290789196 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem written by Vassilios Babalos and published by . This book was released on 2011 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.