On the short-term persistence of mutual fund performance in Europe

Amira Hammouda, Asif Saeed, Marta Vidal and Javier Vidal-García

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: In this article, we examine the short-term persistence in mutual fund performance in the main European markets between January 1990 and December 2022. The mutual fund industry in Europe has experienced significant growth in recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a small number of significant studies compared to the US industry. Using a sample of daily survivorship bias-free data on the five most important European mutual fund countries, which includes 2734 mutual funds across all countries, we find statistically significant persistence in the post-ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top-decile and bottom-decile mutual funds. Further, we also extend our analysis to high inflation periods.

Keywords: Mutual fund; Performance persistence; Market timing; Factor models; Inflation (search for similar items in EconPapers)
JEL-codes: E31 G11 G12 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000892

DOI: 10.1016/j.ribaf.2023.101963

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