Persistence in Fund Portfolio Performance and the Information Content of Portfolio Performance History: An Examination of Rollover Funds

T.A. Hallahan

Working Papers from Melbourne - Centre in Finance

Abstract: This paper examines whether there is evidence of persistence in the performance of a subset of Australian investment funds, namely, Rollover Funds. Four categories of funds are examined: fixed interest; multi-sector yield; multi-sector balanced; and multi-sector growth. This study extends the performance persistence literature through the use of three methodologies (1) regression analysis; (2) non-parametric contingency tables; and (3) top quartile rankings to explore the information content of fund performance history for groups of funds differentiated by investment objective.

Keywords: FINANCIAL MARKET; STOCK RETURNS; INVESTMENTS (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:melrfi:97-9

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