Performance Persistence: Evidence for the European Mutual Funds Market
Series
SSRN Working Paper Series; 7600318
Type
working paper
Date Issued
1999-06
Author(s)
Abstract
Using a sample of 333 European equity mutual funds, we show that persistence in risk adjusted returns is present in funds with investment objective European equity. We demonstrate that persistence is neither caused by Fama/French (1996) related anomalies nor disappears if we correct for the European momentum effect documented in Rouwenhorst (1998). Persistence is not induced by mutual fund style related issues either, since we control for style issues using the Sharpe (1992) Asset Class Factor model. We find evidence in favour of persistent performance to be a robust phenomenon not very sensitive to different methodologies for testing persistence or adjusting for risk.
Language
English
Keywords
performance persistence
European mutual funds market
internationally diversified portfolios
mutual funds
HSG Classification
contribution to scientific community
Refereed
No
Pages
55
Official URL
Subject(s)
Division(s)
Additional Information
Working paper, Swiss Institute of Banking and Finance, University of St.Gallen, June 1999. Previously circulated without public access; posted on SSRN in 2026 to provide a citable version. The paper has not been updated since.
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Performance_Persistence_European_Mutual_Funds_SSRN.pdf
Type
Main Article
Size
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Format
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