Journalartikel

Jahr der Veröffentlichung: 2018

Seiten: 1911-1947

Zeitschrift: Review of Finance

Bandnummer: 22

Heftnummer: 5

ISSN: 1572-3097

eISSN: 1573-692X

Open Access Status: Green

DOI Link: https://doi.org/10.1093/rof/rfx017

Verlag: Oxford University Press

Abstract: 
Most empirical studies suggest that mutual funds do not persistently outperform an appropriate benchmark in the long run. We analyze this lack of persistence in terms of two equilibrating mechanisms: fund flows and manager changes. Using data on actively managed US equity mutual funds, we find that if neither mechanism is operating, winner funds (top-decile ranked in previous year) continue to significantly outperform loser funds (bottom-decile ranked in previous year) by 4.08 percentage points per annum. However, the difference between previous winner and loser funds declines to zero within one year if the two mechanisms are acting together. Thus, equity mutual fund out- and underperformance are unlikely to persist in well-functioning financial markets.

Harvard-Zitierstil: Bessler, W., Blake, D., Luckoff, P. and Tonks, I. (2018) Fund Flows, Manager Changes, and Performance Persistence, Review of Finance, 22(5), pp. 1911-1947. https://doi.org/10.1093/rof/rfx017

APA-Zitierstil: Bessler, W., Blake, D., Luckoff, P., & Tonks, I. (2018). Fund Flows, Manager Changes, and Performance Persistence. Review of Finance. 22(5), 1911-1947. https://doi.org/10.1093/rof/rfx017