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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)
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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File URL: ftp://ftp.funep.es/InvEcon/paperArchive/Sep2005/v29i3a4.pdf
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Publisher 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;

Find related papers by JEL classification:
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Basarrate, Begona & Rubio, Gonzalo, 1999. "Nonsimultaneous Prices and the Evaluation of Managed Portfolios in Spain," Applied Financial Economics, Taylor and Francis Journals, vol. 9(3), pages 273-81, June. [Downloadable!] (restricted)
  2. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January. [Downloadable!] (restricted)
  3. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March. [Downloadable!] (restricted)
    Other versions:
  4. Lu Zheng, 1999. "Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability," Journal of Finance, American Finance Association, vol. 54(3), pages 901-933, 06. [Downloadable!] (restricted)
  5. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March. [Downloadable!] (restricted)
  6. Detzel, F. Larry & Weigand, Robert A., 1998. "Explaining Persistence in Mutual Fund Performance," Financial Services Review, Elsevier, vol. 7(1), pages 45-55. [Downloadable!] (restricted)
  7. Agarwal, Vikas & Naik, Narayan Y., 2000. "Multi-Period Performance Persistence Analysis of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 327-342, September. [Downloadable!]
  8. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(1), pages 1-22. [Downloadable!] (restricted)
  9. 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.
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  10. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-98, June. [Downloadable!] (restricted)
    Other versions:
  11. Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law & Economics, University of Chicago Press, vol. 35(1), pages 45-70, April.
  12. Javier Gil-Bazo & Miguel Angel Martinez, 2004. "The Black Box of Mutual Fund Fees," DFAEII Working Papers 200401, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
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This page was last updated on 2009-11-11.

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