Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem

Released on by Vassilios Babalos
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  • Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem Book Detail

  • Author : Vassilios Babalos
  • Release Date : 2011
  • Publisher :
  • Genre :
  • Pages : 41
  • ISBN 13 :
  • File Size : 21,21 MB
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Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem by Vassilios Babalos PDF Summary

Book Description: 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.

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