Persistence in Mutual Funds in Latin American Emerging Markets

Luis Muga, Adriana Rodriguez and Rafael Santamaría
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Rafael Santamaría: Luis Muga, Adriana Rodriguez and Rafael Santamaría are at the Department of Business Management, Public University of Novarre, Spain.

Journal of Emerging Market Finance, 2007, vol. 6, issue 1, 1-37

Abstract: We find persistence in mutual fund performance both over consecutive time periods and in a multi-period setting. There is significant spread, persisting for at least two or three years, between the portfolio with funds from the top past return quintile and those from the bottom past return quintile. This spread remains unexplained by conventional risk factors. Finally, investors are observed to use information on persistence, since a significant positive relationship is shown to exist between fund flows and past returns, though this is a convex relationship, which is weaker in the region of bad returns.

Keywords: JEL Classification: G23; JEL Classification: G14; Mutual funds; persistence; performance; performance-flow relationship (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:6:y:2007:i:1:p:1-37

DOI: 10.1177/097265270700600101

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