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Determinants of Persistence in Relative Performance of Mutual Funds

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  • Volkman, David A
  • Wohar, Mark E

Abstract

Similar to previous studies, we investigate the relation between past and future fund performance. However, we deviate from previous studies by investigating the relation between persistent fund performance and four systematic factors: size, goal, load, and management fee. Results indicate no consistent relation between fund size and persistent fund performance. The existence of a sales charge does not affect persistent fund performance. The goal of a fund does affect persistent fund performance, with high-risk maximum capital gain funds' demonstrating a strong positive persistence in abnormal returns. In addition, funds with low management fees demonstrate significantly positive persistent fund performance, while funds with high management fees demonstrate significantly negative persistent fund performance. Further research into the relation between persistent fund performance and maximum capital gain funds indicates persistent fund performance in both inferior- and superior-performing funds. However, persistence in funds with low management fees occurs only in funds with superior past performance.

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Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 18 (1995)
Issue (Month): 4 (Winter)
Pages: 415-30

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Handle: RePEc:bla:jfnres:v:18:y:1995:i:4:p:415-30

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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Web page: http://www.southwesternfinance.org/
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Cited by:
  1. Martina Bers & Jeff Madura, 2000. "Why Does Performance Persistence Vary Among Closed-End Funds?," Journal of Financial Services Research, Springer, Springer, vol. 17(2), pages 127-147, August.
  2. Tamiz, Mehrdad & Azmi, Rania A. & Jones, Dylan F., 2013. "On selecting portfolio of international mutual funds using goal programming with extended factors," European Journal of Operational Research, Elsevier, Elsevier, vol. 226(3), pages 560-576.
  3. Nicolaj Siggelkow, 1999. "Expense Shifting: An Empirical Study of Agency Costs in the Mutual Fund Industry," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 99-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
  4. Prather, Laurie & Bertin, William J. & Henker, Thomas, 2004. "Mutual fund characteristics, managerial attributes, and fund performance," Review of Financial Economics, Elsevier, Elsevier, vol. 13(4), pages 305-326.
  5. Justin Davis & G. Tyge Payne & Gary McMahan, 2007. "A Few Bad Apples? Scandalous Behavior of Mutual Fund Managers," Journal of Business Ethics, Springer, Springer, vol. 76(3), pages 319-334, December.
  6. Maria Do Ceu Ribeiro Cortez & Dean Paxson & Manuel Jose Da Rocha Armada, 1999. "Persistence in Portuguese mutual fund performance," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(4), pages 342-365.
  7. Collinet, Lance & Firer, Colin, 2003. "Characterising persistence of performance amongst South African general equity unit trusts," Omega, Elsevier, Elsevier, vol. 31(6), pages 523-538, December.
  8. Porter, Gary E. & Trifts, Jack W., 1998. "Performance Persistence of Experienced Mutual Fund Managers," Financial Services Review, Elsevier, Elsevier, vol. 7(1), pages 57-68.
  9. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 55, Money Macro and Finance Research Group.

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