Italian Equity Funds: Efficiency and Performance Persistence

Loriana Pelizzon (), Roberto Casarin and Andrea Piva ()
Additional contact information
Andrea Piva: GRETA Associati

No 2008_12, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: Have Italian mutual funds been able to generate �extra-return�? Were some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. We show that, in general, fund managers have not been able to score extra-performances and only few managers had stock picking ability or market timing ability. This evidence is consistent with the market efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk-adjusted returns on four-month using cross-section tests. However, as soon as we analyse yearly intervals any evidence of persistence disappears.

Keywords: Mutual funds; Performance evaluation (search for similar items in EconPapers)
JEL-codes: G10 G12 G21 G23 (search for similar items in EconPapers)
Pages: 22
Date: 2008
New Economics Papers: this item is included in nep-cfn, nep-eff and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2008_12

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