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What daily data can tell us about mutual funds: Evidence from Norway

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  • Gallefoss, Kristoffer
  • Hansen, Helge Hoff
  • Haukaas, Eirik Solli
  • Molnár, Peter

Abstract

This paper studies the performance and persistence of Norwegian mutual funds utilizing a new data set of daily returns. Daily data allow us to evaluate the performance over short time horizons in a reliable manner, which is important because the risk exposure of funds can change over time. We complement the existing literature by providing the first study based on daily data outside of the US. Our results show that the performance of top and bottom funds cannot be explained by luck. The performance of these top and bottom funds persists for short horizons, of only up to one year. The mutual fund industry as a whole underperforms the benchmark by approximately the fund fees.

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  • 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.
    • Handle: RePEc:eee:jbfina:v:55:y:2015:i:c:p:117-129
    DOI: 10.1016/j.jbankfin.2015.02.001
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    2. 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.
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    6. Tanja Artiga Gonzalez & Iman van Lelyveld & Katarina Lucivjanska, 2018. "Pension fund equity performance: Patience, activity or both?," DNB Working Papers 606, Netherlands Central Bank, Research Department.
    7. Sonal Babbar & Sanjay Sehgal, 2018. "Mutual Fund Characteristics and Investment Performance in India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 43(1-2), pages 1-30, February.

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    More about this item

    Keywords

    Mutual funds; Performance; Persistence;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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