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Italian Equity Funds: Efficiency and Performance Persistence

  • Loriana Pelizzon

    ()

    (Department of Economics, University Of Venice Cà Foscari)

  • Roberto Casarin

    ()

    (Department of Economics, University Of Brescia)

  • Andrea Piva

    ()

    (GRETA Associati)

Have Italian mutual funds been able to generate “extra-return”? Were some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. We show that, in general, fund managers have not been able to score extra-performances and only few managers had stock picking ability or market timing ability. This evidence is consistent with the market efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk-adjusted returns on four-month using cross-section tests. However, as soon as we analyse yearly intervals any evidence of persistence disappears.

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Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2008_12.

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Length: 22
Date of creation: 2008
Date of revision:
Handle: RePEc:ven:wpaper:2008_12
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