Persistence in Mutual Fund Returns: New Zealand Evidence

Hooper, Keith; Davey, Howard; Su, Roger; Foo, Dani

doi:10.1108/10309610680000682

Cited by 2 publications

(2 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Few studies have examined the performance and persistence of closed-end funds in the UK, particularly the performance of UK investment trusts. Bal and Leger (1996); Leger (1997); Hooper et al (2006); Allen and Tan (1999) and Bangassa et al (2012) present various findings on the persistence in performance of UK closed-end funds. Our study extends the literature on closed-end funds, particularly UK investment trusts by investigating the performance of UK closed-end funds over the more recent period from 1997 to 2014.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The impact of international financial reporting standards on fund performance

Rubanov

Nnadi

2018

ARJ

View full text Add to dashboard Cite

This paper examines the effect of IFRS on the performance of UK investment closed-end trust funds with domestic equity focus using Carhart's Four-Factor model. Design/methodology/approach The paper is based on the Efficient Market Hypothesis, which argues that all available information is already included in the price of assets and therefore, investors cannot beat the market or generate abnormal returns. Findings The results show that on average UK investment trusts do not generate abnormal returns, nor is their performance persistent. Our study provides empirical evidence to supports the efficient market hypotheses, and provides proof that the adoption of IFRS has on average, a decreasing impact on the excess returns generated by UK investment trusts. Originality/Value The findings of the paper have business policy implications for investment trust in the UK.

show abstract

Section: Introductionmentioning

confidence: 99%

“…Most studies on mutual funds argue that because of the efficient market hypothesis, mutual funds usually neither do outperform their pre-set benchmark, nor are their performance persistent (Berk and Green; 2004; Hooper et al , 2006). This implies that positive performance is most commonly based on luck and not the manager’s skill-set.…”

Section: Introductionmentioning

confidence: 99%

The impact of international financial reporting standards on fund performance

Rubanov

Nnadi

2018

ARJ

View full text Add to dashboard Cite

show abstract

Risk factors-adjusted performance and persistence during the post-subprime crisis period: evidence from Indian mutual fund industry

Kumar,

Singh

2024

JAMR

View full text Add to dashboard Cite

PurposeThe main objective of the paper is to find evidence of abnormal returns and performance persistence of actively managed equity funds in the Indian context on an annual basis during the post-subprime crisis period between 2009 and 10 and 2019 and 2020.Design/methodology/approachThe study is exploratory and empirical, used daily net asset value (NAV) of 180 equity funds for 10 years and applied the risk-adjusted, Jensen's (1968) single-factor, Fama and French's (1993) three-factor model and Carhart's (1997) four-factor model to evaluate the performance. The performance persistence has been tested using cross-section regression (Bollen and Busse, 2005), the non-parametric contingency approach, along with the robustness measure, i.e. Malkiel's (1995) Z-score, Brown and Goetzmann's (1995) cross-product ratio (CPR) and Kahn and Rudd's (1995) χ2 value.FindingsThe results show that the Indian equity funds are unable to generate abnormal returns, and the size, value and momentum strategies applied by the fund managers in generating abnormal returns do not work effectively. However, funds provide strong evidence of significant performance persistence on an annual basis in the short-term, mid-term and long-term periods. Both parametric as well as non-parametric tests provide identical evidence of persistence, and the performance persistence is independent of the choice of models, as all the models (i.e. two, three or four-factor models) provide significant evidence of persistence.Research limitations/implicationsThough the study is comprehensive and covered a longer period, there is a scope for future research by examining the influence of fund characteristics, fund rating and macroeconomic factors on performance and persistence. It can be extended over to a longer period covering the post-COVID-19 period, a larger sample size and a comparative study of Indian and foreign mutual funds (MFs).Practical implicationsThe outcomes of this research paper can help wealth-maximizing investors in the identification of persistent equity funds and can apply the previous period’s performance information as a useful investment strategy to generate higher returns in the future. We believe that these outcomes will have significant ramifications for all MF stakeholders and policymakers, especially for the Indian industry in ensuring and establishing the credibility of MF managers, in providing better returns as well as to make MF investment more attractive to Indian retail investors.Originality/valueDespite the exponential growth in the Indian MF industry, limited evidence is available on performance and persistence covering a large sample size during the post-sub-prime crisis period using different return models and parametric and non-parametric approaches. The study is based on the daily data set of a larger sample size representing all the Asset Management Company (AMC) and the longer period following the post-subprime crises, which affected capital flows significantly. Moreover, the application of all the measures enables us to understand performance persistence in a larger context.

show abstract

Persistence in Mutual Fund Returns: New Zealand Evidence

Cited by 2 publications

References 20 publications

The impact of international financial reporting standards on fund performance

The impact of international financial reporting standards on fund performance

Risk factors-adjusted performance and persistence during the post-subprime crisis period: evidence from Indian mutual fund industry

Contact Info

Product

Resources

About