IICM 2006 10th Indian Institute of Capital Markets Conference (Archive)最新文献

筛选
英文 中文
Short-Term Persistence in Mutual Funds Performance: Evidence from India 共同基金业绩的短期持续性:来自印度的证据
IICM 2006 10th Indian Institute of Capital Markets Conference (Archive) Pub Date : 2007-12-18 DOI: 10.2139/ssrn.962829
S. Sehgal, M. Jhanwar
{"title":"Short-Term Persistence in Mutual Funds Performance: Evidence from India","authors":"S. Sehgal, M. Jhanwar","doi":"10.2139/ssrn.962829","DOIUrl":"https://doi.org/10.2139/ssrn.962829","url":null,"abstract":"In this paper, we examine if there is any short-term persistence in mutual funds performance in the Indian context. We find no evidence that confirms persistence using monthly data. Using daily data, we observe that for fund schemes sorted on prior period four-factor abnormal returns, the winners portfolio does provide gross abnormal returns of 10% per annum on post-formation basis. The economic feasibility of zero-investment trading strategies that involve buying past winners and selling past losers is however in doubt. This is owing to the fact that these strategies generate low gross returns and that the winners portfolios involve higher investment costs than losers portfolios, thus destroying a major portion of extra-normal returns. Our empirical findings are consistent with the efficient market hypothesis and have implications for hedge funds and other managed portfolios who rely on innovative investment styles, including the fund of funds trading strategies that implicitly assume short-term persistence.","PeriodicalId":221791,"journal":{"name":"IICM 2006 10th Indian Institute of Capital Markets Conference (Archive)","volume":"198 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127597310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 21
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信