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The Persistence of Mutual Fund Performance

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Cited by:

  1. Mohammad (Vahid) Irani & Hugh Hoikwang Kim, 2023. "The consequences of non‐trading institutional investors," Financial Management, Financial Management Association International, vol. 52(3), pages 433-481, September.
  2. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
  3. Huddart, Steven, 1999. "Reputation and performance fee effects on portfolio choice by investment advisers1," Journal of Financial Markets, Elsevier, vol. 2(3), pages 227-271, August.
  4. Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
  5. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April.
  6. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
  7. Nanda, Vikram & Narayanan, M. P. & Warther, Vincent A., 2000. "Liquidity, investment ability, and mutual fund structure," Journal of Financial Economics, Elsevier, vol. 57(3), pages 417-443, September.
  8. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
  9. Jiong Gong & Ping Jiang & Shu Tian, 2016. "Contractual mutual fund governance: the case of China," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 543-567, April.
  10. Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
  11. Manakyan, Herman & Liano, Kartono, 1997. "Performance of mutual funds before and after closing to new investors," Financial Services Review, Elsevier, vol. 6(4), pages 257-269.
  12. Luis Miguel Doncel & Pilar Grau-Carles & Jorge Sainz, 2009. "On the long-term behavior of mutual fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 653-660.
  13. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
  14. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
  15. Pei-I Chou & Chia-Hao Lee, 2012. "Is Concentration a Good Idea? Evidence from Active Fund Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(1), pages 23-41, March.
  16. Li, Xin & Paulson, Nicholas, 2014. "Is Farm Management Skill Persistent?," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170170, Agricultural and Applied Economics Association.
  17. Jank, Stephan & Wedow, Michael, 2015. "Sturm und Drang in money market funds: When money market funds cease to be narrow," Journal of Financial Stability, Elsevier, vol. 16(C), pages 59-70.
  18. Henrik Cronqvist, 2005. "Advertising and Portfolio Choice," CeRP Working Papers 44, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  19. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
  20. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
  21. Kronlund, Mathias & Pool, Veronika K. & Sialm, Clemens & Stefanescu, Irina, 2021. "Out of sight no more? The effect of fee disclosures on 401(k) investment allocations," Journal of Financial Economics, Elsevier, vol. 141(2), pages 644-668.
  22. Travis Sapp, 2011. "The 52-week high, momentum, and predicting mutual fund returns," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 149-179, August.
  23. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
  24. Collinet, Lance & Firer, Colin, 2003. "Characterising persistence of performance amongst South African general equity unit trusts," Omega, Elsevier, vol. 31(6), pages 523-538, December.
  25. Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  26. Dimitrios Koutmos & Bochen Wu & Qi Zhang, 2020. "In search of winning mutual funds in the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 589-616, February.
  27. Dariusz Filip & Tomasz Rogala, 2021. "Analysis of Polish mutual funds performance: a Markovian approach," Statistics in Transition New Series, Polish Statistical Association, vol. 22(1), pages 115-130, March.
  28. Andrea Flori & Fabrizio Lillo & Fabio Pammolli & Alessandro Spelta, 2021. "Better to stay apart: asset commonality, bipartite network centrality, and investment strategies," Annals of Operations Research, Springer, vol. 299(1), pages 177-213, April.
  29. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
  30. Wermers, Russ, 2006. "Performance evaluation with portfolio holdings information," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 207-230, August.
  31. Alessandro Carretta & Gianluca Mattarocci, 2009. "Funds of Funds Portfolio Composition and its Impact on Performance: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 5, pages 69-88, Palgrave Macmillan.
  32. Terrence Hallahan & Robert Faff, 2001. "Induced persistence or reversals in fund performance?: the effect of survivorship bias," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 119-126.
  33. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty : What approach?]," MPRA Paper 25442, University Library of Munich, Germany.
  34. Feng, Xunan & Johansson, Anders C., 2015. "Can mutual funds pick stocks in China? Evidence from the IPO market," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 170-186.
  35. Gao, M. & Yen, J. & Liu, M., 2021. "Determinants of defaults on P2P lending platforms in China," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 334-348.
  36. Maiia Sleptcova & Heidi Falkenbach, 2021. "Managerial Skill and European PERE Fund Performance," The Journal of Real Estate Finance and Economics, Springer, vol. 62(4), pages 665-690, May.
  37. Ian Tonks, 2005. "Performance Persistence of Pension-Fund Managers," The Journal of Business, University of Chicago Press, vol. 78(5), pages 1917-1942, September.
  38. Kliger, Doron & Levy, Ori & Sonsino, Doron, 2003. "On absolute and relative performance and the demand for mutual funds--experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 52(3), pages 341-363, November.
  39. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 400-423, April.
  40. repec:dau:papers:123456789/13099 is not listed on IDEAS
  41. Zia-ur-Rehman Rao & Tanveer Ahsan & Muhammad Zubair Tauni & Muhammad Umar, 2018. "Performance and Persistence in Performance of Actively Managed Chinese Equity Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 727-747, September.
  42. Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
  43. David G. Shrider, 2009. "Running From a Bear: How Poor Stock Market Performance Affects the Determinants of Mutual Fund Flows," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 987-1006, September.
  44. Mola, Simona & Guidolin, Massimo, 2009. "Affiliated mutual funds and analyst optimism," Journal of Financial Economics, Elsevier, vol. 93(1), pages 108-137, July.
  45. Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2019. "The short-selling skill of institutions and individuals," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 77-91.
  46. Dariusz Filip, 2021. "A Review of Main Strands on the Flow-Performance Relationship of Mutual Funds," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 7(3), pages 245-256, July.
  47. Keswani, Aneel & Medhat, Mamdouh & Miguel, Antonio F. & Ramos, Sofia B., 2020. "Uncertainty avoidance and mutual funds," Journal of Corporate Finance, Elsevier, vol. 65(C).
  48. Angela Frino & Richard Heaney & David Service, 2005. "Do Past Performance and Past Cash Flows Explain Current Cash Flows into Retail Superannuation Funds in Australia?," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 229-244, December.
  49. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
  50. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  51. Blake, David, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
  52. Hammouda, Amira & Saeed, Asif & Vidal, Marta & Vidal-García, Javier, 2023. "On the short-term persistence of mutual fund performance in Europe," Research in International Business and Finance, Elsevier, vol. 65(C).
  53. Chakravarty, Sugato & Ray, Rina, 2020. "On short-term institutional trading skill, behavioral biases, and liquidity need," Journal of Corporate Finance, Elsevier, vol. 65(C).
  54. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
  55. Berkowitz, Jason P. & Schorno, Patrick J. & Shapiro, Dmitry A., 2017. "Characteristics of mutual funds with extreme performance," Review of Financial Economics, Elsevier, vol. 34(C), pages 50-60.
  56. Scott Bennett & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Yuki Xi, 2018. "A new perspective on performance persistence: evidence using portfolio holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 91-125, March.
  57. Wermers, Russ & Yao, Tong & Zhao, Jane, 2007. "The investment value of mutual fund portfolio disclosure," CFR Working Papers 06-09, University of Cologne, Centre for Financial Research (CFR).
  58. Mazur, Mieszko & Salganik-Shoshan, Galla & Zagonov, Maxim, 2017. "Comparing performance sensitivity of retail and institutional mutual funds’ investment flows," Finance Research Letters, Elsevier, vol. 22(C), pages 66-73.
  59. Jun, Xiao & Ren, He & Sun, Ping-Wen, 2021. "Deriving managerial skills by dissecting holding changes of mutual funds: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  60. Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
  61. Clemens Sialm & Hanjiang Zhang, 2020. "Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 75(2), pages 735-777, April.
  62. Ruckman, Karen, 2004. "Mode of entry mode into a foreign market: the case of U.S. mutual funds in Canada," Journal of International Economics, Elsevier, vol. 62(2), pages 417-432, March.
  63. Konstantinov, Gueorgui S. & Fabozzi, Frank J., 2021. "Towards a dead end? EMU bond market exposure and manager performance," Journal of International Money and Finance, Elsevier, vol. 116(C).
  64. Bryan D. MacGregor & Rainer Schulz & Yuan Zhao, 2021. "Performance and Market Maturity in Mutual Funds: Is Real Estate Different?," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 437-492, October.
  65. Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
  66. Lawrence Kryzanowski & Abdul Rahman, 2008. "Portfolio performance ambiguity and benchmark inefficiency revisited," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 321-332, December.
  67. Ammer, John & Brunner, Allan D., 1997. "Are banks market timers or market makers? Explaining foreign exchange trading profits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 43-60, April.
  68. Smaby, Timothy R. & Fizel, John L., 1995. "Fund closings as a signal to investors: Investment performance of open-end mutual funds that close to new shareholders," Financial Services Review, Elsevier, vol. 4(2), pages 71-80.
  69. Moreno, David & Marco, Paulina & Olmeda, Ignacio, 2006. "Self-organizing maps could improve the classification of Spanish mutual funds," European Journal of Operational Research, Elsevier, vol. 174(2), pages 1039-1054, October.
  70. James, Christopher & Karceski, Jason, 2006. "Investor monitoring and differences in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2787-2808, October.
  71. Svitlana Voronkova & Martin T. Bohl, 2005. "Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1537-1560, September.
  72. Andreu, Laura & Serrano, Miguel & Vicente, Luis, 2019. "Efficiency of mutual fund managers: A slacks-based manager efficiency index," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1180-1193.
  73. Erik Kole & Reza Brink, "undated". "Constructing and Using Double-adjusted Alphas to Analyze Mutual Fund Performance," Tinbergen Institute Discussion Papers 19-029/IV, Tinbergen Institute.
  74. Lehmann, Bruce & Timmermann, Allan, 2007. "Performance measurement and evaluation," LSE Research Online Documents on Economics 24505, London School of Economics and Political Science, LSE Library.
  75. Bers, Martina K., 1998. "Causal relations among stock returns, inflation: Persistence of international mutual fund performance," Global Finance Journal, Elsevier, vol. 9(2), pages 225-240.
  76. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
  77. Palomino, F.A. & Uhlig, H.F.H.V.S., 1999. "Should smart investors buy funds with high returns in the past," Discussion Paper 1999-69, Tilburg University, Center for Economic Research.
  78. Ling, Aifan & Huang, Xinrui & Ling, Boya (Vivye), 2022. "Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  79. ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno, 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 345-373, September.
  80. Michael Heinrich Baumann, 2022. "Beating the market? A mathematical puzzle for market efficiency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 279-325, June.
  81. Robert W. Faff & Jerry T. Parwada & Hun‐Lune Poh, 2007. "The Information Content of Australian Managed Fund Ratings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1528-1547, November.
  82. Wang, Haoyu & Di, Junpeng & Yang, Zhaojun & Han, Qing, 2020. "Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  83. Mamatzakis, Emmanuel & Xu, Bingrun, 2016. "Managerial attributes and equity mutual fund performance: evidence from china," MPRA Paper 76139, University Library of Munich, Germany.
  84. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 2, pages 97-130, May.
  85. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2017. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 363-384, June.
  86. Luis Ferruz & José L Sarto & Laura Andreu, 2007. "A comparison between German and Spanish equity fund markets," Journal of Asset Management, Palgrave Macmillan, vol. 8(3), pages 147-151, September.
  87. Eisele, Alexander & Nefedova, Tamara & Parise, Gianpaolo & Peijnenburg, Kim, 2020. "Trading out of sight: An analysis of cross-trading in mutual fund families," Journal of Financial Economics, Elsevier, vol. 135(2), pages 359-378.
  88. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
  89. Daraio, Cinzia & Simar, Leopold, 2006. "A robust nonparametric approach to evaluate and explain the performance of mutual funds," European Journal of Operational Research, Elsevier, vol. 175(1), pages 516-542, November.
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  91. Yu, Bin & Shen, Yifan & Jin, Xuejun & Xu, Qi, 2022. "Does prospect theory explain mutual fund performance? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  92. Li, Xi & Paulson, Nicholas & Schnitkey, Gary, 2015. "Is Farm Management Skill Persistent?," 2015 Conference, August 9-14, 2015, Milan, Italy 212047, International Association of Agricultural Economists.
  93. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," Research in International Business and Finance, Elsevier, vol. 26(2), pages 317-333.
  94. Harless, David W. & Peterson, Steven P., 1998. "Investor behavior and the persistence of poorly-performing mutual funds," Journal of Economic Behavior & Organization, Elsevier, vol. 37(3), pages 257-276, November.
  95. Gupta-Mukherjee, Swasti, 2013. "When active fund managers deviate from their peers: Implications for fund performance," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1286-1305.
  96. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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  98. Wolfgang Bessler & Thomas Conlon & Diego Víctor de Mingo‐López & Juan Carlos Matallín‐Sáez, 2022. "Mutual fund performance and changes in factor exposure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(1), pages 17-52, March.
  99. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
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  106. Carpenter, Jennifer N. & Lynch, Anthony W., 1999. "Survivorship bias and attrition effects in measures of performance persistence," Journal of Financial Economics, Elsevier, vol. 54(3), pages 337-374, December.
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  115. Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  116. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
  117. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
  118. Gil-Bazo, Javier & Ruiz-Verdú, Pablo, 2008. "When cheaper is better: Fee determination in the market for equity mutual funds," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 871-885, September.
  119. Jason P. Berkowitz & Patrick J. Schorno & Dmitry A. Shapiro, 2017. "Characteristics of mutual funds with extreme performance," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 50-60, September.
  120. Prather, Larry J. & Middleton, Karen L., 2002. "Are N+1 heads better than one?: The case of mutual fund managers," Journal of Economic Behavior & Organization, Elsevier, vol. 47(1), pages 103-120, January.
  121. Roongkiat Ratanabanchuen & Kanis Saengchote, 2018. "Chasing Returns with High-Beta Stocks," PIER Discussion Papers 96, Puey Ungphakorn Institute for Economic Research.
  122. Rania Makni & Olfa Benouda & Ezzedine Delhoumi, 2016. "International evidence on Islamic equity fund characteristics and performance persistence," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 75-82, November.
  123. Martin Eling, 2009. "Does Hedge Fund Performance Persist? Overview and New Empirical Evidence," European Financial Management, European Financial Management Association, vol. 15(2), pages 362-401, March.
  124. Gilles Daniel & Didier Sornette & Peter Wohrmann, 2008. "Look-Ahead Benchmark Bias in Portfolio Performance Evaluation," Papers 0810.1922, arXiv.org.
  125. Deaves, Richard, 2004. "Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 673-694, March.
  126. Philpot, James & Hearth, Douglas & Rimbey, James, 2000. "Performance persistence and management skill in nonconventional bond mutual funds," Financial Services Review, Elsevier, vol. 9(3), pages 247-258, 00.
  127. Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2016. "International evidence on Islamic equity fund characteristics and performance persistence," Review of Financial Economics, Elsevier, vol. 31(C), pages 75-82.
  128. Klaas P. Baks & Andrew Metrick & Jessica Wachter, 2001. "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Journal of Finance, American Finance Association, vol. 56(1), pages 45-85, February.
  129. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  130. Luis Ferruz & Cristina Ortiz & Jose Sarto, 2009. "Decisions of domestic equity fund investors: determinants and search costs," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1295-1304.
  131. Jeff Madura & Martina K. Bers, 2002. "The performance persistence of foreign closed‐end funds," Review of Financial Economics, John Wiley & Sons, vol. 11(4), pages 263-285.
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