Estimating Short-Run Persistence in Mutual Fund Performance
Bibliographic Data
| ID | 19319284 |
|---|---|
| Authors | Jenke ter Horst (Tilburg University), Marno Verbeek (0000-0002-4079-6774, Tilburg University) |
| Year | 2000 |
| Volume | 82 |
| Issue | 4 |
| Pages | 646-655 |
| Publication date | 2000-11-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/003465300558984 |
| OpenAlex | W1964591706 |
| Language | EN |
| References cited | 14 |
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show that these biases cannot be neglected for the samples that are typically used in applied work. We also estimate the short-run persistence in two samples of U.S. open-end mutual funds using quarterly returns for 1987–1994. An important conclusion is that the results are quite sensitive to the estimation method that is employed
Econometrics · Economics · Estimation · Estimator · Monetary economics · Monte Carlo method · Mutual fund · Persistence (discontinuity) · Short run · Spurious relationship · Statistics · Complex Systems and Time Series Analysis · Engineering · Finance · Financial Markets and Investment Strategies · Mathematics · Monetary Policy and Economic Impact
| Highly cited | No |
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