Persistence in the Indian Mutual Fund Market

Arjun Raychaudhuri

The IUP Journal of Financial Economics, 2005, vol. III, issue 1, 6-25

Abstract: This paper studies about persistence in mutual fund performance in India, from 2001-04. It uses several tests from the literature to conclude that there is persistence in the mutual fund market. It is found that performance measures that are constructed using large lags of data are better predictors of future performance. In addition, the predictions of performance for longer future periods are superior to predictions made for short-run future periods. Finally, it is found that auto-regression tests for persistence may fail despite the presence of persistence.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:03:y:2005:i:1:p:6-25

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