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Are There Hot Hands Among Mutual Fund Houses in Hong Kong?

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  • Louis T. Cheng
  • Lynn K. Pi
  • Don Wort

Abstract

This paper examines the short‐term performance persistence of thirty‐two fund houses in Hong Kong during January 1986 to December 1995. We compute fund house returns using averages of all equity funds in each house. Then we evaluate their hot hand performance using the median return as benchmark on a rolling monthly basis. The results show that there were only two ‘hot hand’ fund houses. Findings using annual returns confirm the non‐existence of a hot hand phenomenon. However, we find a strong correlation between conditional and unconditional probabilities of winning repeatedly in consecutive months

Suggested Citation

  • Louis T. Cheng & Lynn K. Pi & Don Wort, 1999. "Are There Hot Hands Among Mutual Fund Houses in Hong Kong?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1‐2), pages 103-135, January.
    • Handle: RePEc:bla:jbfnac:v:26:y:1999:i:1-2:p:103-135
    DOI: 10.1111/1468-5957.00250
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    Cited by:

    1. Timothy Cairney & Judith Swisher, 2004. "The Role of the Options Market in the Dissemination of Private Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1015-1042, September.
    2. Timothy Cairney & Judith Swisher, 2004. "The Role of the Options Market in the Dissemination of Private Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1015-1042.
    3. Christopher Cotton & Frank McIntyre & Joseph P. Price, 2016. "Correcting For Bias In Hot Hand Analysis: Analyzing Performance Streaks In Youth Golf," Working Paper 1366, Economics Department, Queen's University.
    4. Cotton, Christopher S. & McIntyre, Frank & Nordstrom, Ardyn & Price, Joseph, 2019. "Correcting for bias in hot hand analysis: An application to youth golf," Journal of Economic Psychology, Elsevier, vol. 75(PB).

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