Italian Equity Funds: Efficiency and Performance Persistence

Loriana Pelizzon (), Roberto Casarin () and Andrea Piva ()
Additional contact information
Andrea Piva: GRETA Associati

No 2008_12, Working Papers from University of Venice "Ca' Foscari", Department of Economics

Abstract: Have Italian mutual funds been able to generate “extra-return”? Were some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. We show that, in general, fund managers have not been able to score extra-performances and only few managers had stock picking ability or market timing ability. This evidence is consistent with the market efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk-adjusted returns on four-month using cross-section tests. However, as soon as we analyse yearly intervals any evidence of persistence disappears.

Keywords: Mutual funds; Performance evaluation (search for similar items in EconPapers)
JEL-codes: G23 G21 G10 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-eff and nep-fmk
Date: Written
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Related works:
Working Paper: Italian Equity Funds: Efficiency and Performance Persistence (2008)
Journal Article: Italian Equity Funds: Efficiency and Performance Persistence (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:ven:wpaper:2008_12

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