What daily data can tell us about mutual funds: Evidence from Norway

Kristoffer Gallefoss, Helge Hoff Hansen, Eirik Solli Haukaas and Peter Molnár

Journal of Banking & Finance, 2015, vol. 55, issue C, 117-129

Abstract: This paper studies the performance and persistence of Norwegian mutual funds utilizing a new data set of daily returns. Daily data allow us to evaluate the performance over short time horizons in a reliable manner, which is important because the risk exposure of funds can change over time. We complement the existing literature by providing the first study based on daily data outside of the US. Our results show that the performance of top and bottom funds cannot be explained by luck. The performance of these top and bottom funds persists for short horizons, of only up to one year. The mutual fund industry as a whole underperforms the benchmark by approximately the fund fees.

Keywords: Mutual funds; Performance; Persistence (search for similar items in EconPapers)
JEL-codes: G23 G34 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:55:y:2015:i:c:p:117-129

DOI: 10.1016/j.jbankfin.2015.02.001

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