Explaining Persistence in Mutual Fund Performance

Authors

  • F. Larry Detzel Collegeof Businessand Administration,Universityof Colorado at Colorado Springs, 1420 Austin Bluffs Parkway, Colorado Springs, CO 80933; Phone: (719) 262-3676, or (719) 262-3120
  • Robert A. Weigand Collegeof Businessand Administration,Universityof Colorado at Colorado Springs, 1420 Austin Bluffs Parkway, Colorado Springs, CO 80933; Phone: (719) 262-3676, or (719) 262-3120

DOI:

https://doi.org/10.1016/S1057-0810(99)80012-2

Abstract

This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to modelfund performancefails to explain all the persistence infund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks hem by funds. Adjusting fund returns for the size of the stocks in which funds invest andfinancial ratios intended to capturefund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.

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Published

1998-03-30

How to Cite

Detzel, F. L., & Weigand, R. A. (1998). Explaining Persistence in Mutual Fund Performance. Financial Services Review, 7(1), 45–55. https://doi.org/10.1016/S1057-0810(99)80012-2

Issue

Vol. 7 No. 1 (1998): Financial Services Review

Section

New Original Submission

License

Copyright (c) 1998 JAI Press Inc.

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