This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund‐specific characteristics. The results indicate that the hypothesized relationships between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost, and management also explain performance. Finally, after controlling for survivorship and benchmark error as well as fund‐specific factors, the results refute the performance persistence phenomenon.

This paper examines the price and volatility behaviour of two similar commodities (Brent Crude Oil and West Texas Intermediate) and attempts to identify the variables that aOE ect their relative price diOE erential. Price spreads and convenience yields are estimated in an eOE ort to test a number of hypotheses relating to market segmentation, seasonality and maturity eOE ect. Cash and futures price data covering the period 1991± 1995 reveal that: convenience yields are signi® cant and about 2.5% of cash prices on the average; convenience yields exhibit strong yearly and monthly seasonalities due to supply/demand imbalances; convenience yield is a negative function of the level of stocks and behaves like a call option; as maturity of futures contracts nears, their convenience yields get smaller, an indication that the maturity eOE ect exists in futures prices, and crude oil price spreads are aOE ected by convenience yields which act as surrogates for demand/supply conditions and market price behaviour.

Purpose -The purpose of this research is to consider whether market wide herding occurs intraday. Design/methodology/approach -Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market. Findings -Neither market wide nor industry sector herding occurs intraday. Research limitations/implications -Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross-sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns. Originality/value -No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.

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