MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS

Keyi Zhang () and Ramazan Gencay
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Keyi Zhang: Department of Economics, Simon Fraser University, Canada

The Singapore Economic Review (SER), 2019, vol. 64, issue 02, 399-421

Abstract: We propose a new determinant of mutual fund performance persistence. We argue that different funds have different abilities to generate persistent performance and that such heterogeneity across funds can be explained by fund manager access to market information. To justify this hypothesis, we construct a network of mutual funds based on the commonality of their stock holdings and use network features to characterize how well a fund acquires and utilizes market information. Based on a sample of U.S. equity funds from 2001 to 2014, we find that a mutual fund with more complete information is more likely to possess momentum in performance.

Keywords: Network; mutual fund; performance persistence; limited attention (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0217590817500254

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