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Persistencia de resultados en los fondos de inversión españoles

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Author Info

  • Alfredo Ciriaco Fernández

    (Universidad Pública de Navarra)

  • Rafael Santamaría Aquilué

    (Universidad Pública de Navarra)

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    Abstract

    El presente artículo estudia la persistencia de los resultados de los fondos de inversión españoles para el período 1992 a 1999. Los resultados obtenidos informan de la existencia de una relación positiva y significativa entre medidas de resultado de distintas referencias temporales. Además, se ha observado que ésta no se encuentra explicada por el momentum, por lo que podría ser atribuida a diferencias en las habilidades de gestión o a las diferencias de comisiones aplicadas a los partícipes. Por último, se ha observado que las variaciones de flujos monetarios netos presentan una correlación positiva y significativa con las rentabilidades pasadas. Esta relación es asimétrica, pudiendo ser explicada por el entorno estratégico de los gestores.

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    Bibliographic Info

    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 29 (2005)
    Issue (Month): 3 (September)
    Pages: 525-573

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    Handle: RePEc:iec:inveco:v:29:y:2005:i:3:p:525-573

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    Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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    Related research

    Keywords: Fondos de inversión; persistencia; momentum;

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    1. Detzel, F. Larry & Weigand, Robert A., 1998. "Explaining Persistence in Mutual Fund Performance," Financial Services Review, Elsevier, vol. 7(1), pages 45-55.
    2. Chevalier, Judith & Ellison, Glenn, 1997. "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
    3. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
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    12. Gil Bazo, Javier & Martínez Sedano, Miguel Angel, 2003. "The Black Box of Mutual Fund Fees," DFAEII Working Papers 2004-01, University of the Basque Country - Department of Foundations of Economic Analysis II.
    13. Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, vol. 35(1), pages 45-70, April.
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