Persistence and the four‐factor model in the Australian funds market: a note

Jacquelyn E. Humphrey and Michael A. O’Brien

Accounting and Finance, 2010, vol. 50, issue 1, 103-119

Abstract: We investigate whether Australian fund managers are able to deliver persistent performance using Carhart’s (1997) four‐factor model. Short‐ and long‐term persistence is examined and the sample is also divided into unit trusts and superannuation funds. We do not find evidence of persistence in any sample of funds. We find that winner (loser) funds tend to hold past winner (loser) stocks. Winner and loser unit trusts both appear to have positive exposure to small stocks.

Date: 2010
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https://doi.org/10.1111/j.1467-629X.2009.00317.x

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