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Returns and Persistence of Investment Fund Performance in the Czech Republic

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  • Dariusz Filip

Abstract

The article aims at verifying the occurrence of performance persistence phenomenon among equity funds in the Czech Republic. The study uses the most popular measures of return mentioned in financial academic publications. Moreover, a relatively long time horizon, lasting from the beginning of 2000 to the end of 2010 was taken into consideration. The non-parametric methods utilized in the study were traditional contingency tables combined with a new approach discussed in the literature on the subject and related to the estimation of stochastic kernel. The obtained results have revealed the existence of weak and limited performance persistence within the total time horizon and in several sub-periods. The significance of the phenomenon depended on the applied measure of return. Furthermore, performance dependence in successive periods was related to the market situation. In general, the character of the occurrence of performance persistence may be connected with the size and the level of development of the Czech investment fund industry.

Suggested Citation

  • Dariusz Filip, 2013. "Returns and Persistence of Investment Fund Performance in the Czech Republic," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(3), pages 324-342.
    • Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:3:id:455:p:324-342
    DOI: 10.18267/j.pep.455
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    Cited by:

    1. Machnik Jadwiga, 2020. "Performance Persistence and Gamma Convergence in Absolute Return Funds in Poland Over the Period 2011-2018," Financial Sciences. Nauki o Finansach, Sciendo, vol. 25(2-3), pages 41-54, September.
    2. Miljan Lekovic & Dragana Gnjatovic, 2018. "Contribution of the Investment Funds Industry to Development Performances of the Republic of Serbia," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 197-212, June.
    3. Dariusz Filip, 2017. "Mutual Funds: Does the Performance Erosion Effect Exist? Evidence from the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 512-538, October.
    4. Dariusz Filip, 2018. "The impact of fund attributes on performance: Empirical evidence for Polish equity funds," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 465-488.

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    More about this item

    Keywords

    investment funds; performance persistence; CEE markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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