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Mutual Fund Presistence Essay

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American Finance Association

On Persistence in Mutual Fund Performance Author(s): Mark M. Carhart Source: The Journal of Finance, Vol. 52, No. 1 (Mar., 1997), pp. 57-82 Published by: Wiley for the American Finance Association Stable URL: http://www.jstor.org/stable/2329556 . Accessed: 09/10/2013 23:42
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THE JOURNAL OF FINANCE . VOL. LII, NO. 1 . MARCH 1997

On Persistence

in Mutual Fund Performance
MARK M. CARHART* ABSTRACT

Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) "hot hands" result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformanceby the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.

INMUTUAL performance does not reflect superior stock-picking PERSISTENCE FUND

skill....

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Mutual Fund Presistence. Anti Essays. Retrieved December 19, 2018, from the World Wide Web: http://parimatch-stavka7.com/free-essays/Mutual-Fund-Presistence-529323.html


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