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Persistence
"The relative performance of no-load, growth-oriented mutual funds persists in the near term, with the strongest evidence for a one-year evaluation horizon."
"Our sample, largely free of survivorship bias, indicates that relative risk-adjusted performance of mutual funds persist; however, persistence is mostly due to funds that lag the S&P 500."
"The results do not support the existence of skilled or informed mutual fund portfolio managers."
"We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn returns."
Most Cited Paper
Bibliography
AGARWAL and NAIK, 1999. On Taking the 'Alternative' Route: Risks, Rewards Style and Performance Persitence of Hedge Funds
AGARWAL and NAIK, 1999. Multi-Period Performance Persistence Analysis of Hedge Funds
AGARWAL and NAIK, 2000. Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies
ANDERSEN, T.G. and T. BOLLERSLEV, 1997. Intraday periodicity and volatility persistence in financial markets . Journal of Empirical Finance. [Cited by 190 ]
BOLDRIN, M., L.J. CHRISTIANO and J.D.M. FISHER, 2000. Habit persistence, asset returns and the business cycle . [Cited by 134 ]
BROWN and GOETZMANN, 1995. Performance Persistence
BROWN, S.J., et al. , 1995. Performance persistence . Journal of Finance. [Cited by 220 ]
CARHART, 1997. On Persistence in Mutual Fund Performance
CARHART, M.M., 1997. On persistence in mutual fund performance . Journal of Finance. [Cited by 720 ]
CHARI, V.V., 2000. … PRICE MODELS OF THE BUSINESS CYCLE: CAN THE CONTRACT MULTIPLIER SOLVE THE PERSISTENCE PROBLEM? By VV … . Econometrica. [Cited by 267 ]
DIEBOLD, F.X. and G.D. RUDEBUSCH, 1988. Long memory and persistence in aggregate output. [Cited by 141 ]
DING, Z. and C.W.J. GRANGER, 1994. Modeling volatility persistence of speculative returns: a new approach. [Cited by 180 ]
EINHORN, H.J. and R.M. HOGARTH, 1978. Confidence in judgment: Persistence of the illusion of validity. Psychological Review. [Cited by 149 ]
ELTON, E.J., M.J. GRUBER and C.R. BLAKE, 1996. The persistence of risk-adjusted mutual fund performance . Journal of Business. [Cited by 120 ]
ENGLE, R.F. and T. BOLLERSLEV, 1986. Modelling the persistence of conditional variances. Econometric Reviews. [Cited by 355 ]
FERSON, W.E., G.M. CONSTANTINIDES and M.P. PAGE, 1992. Habit Persistence and Durability in Aggregate Consumption: Empirical Tests . NBER Working Paper. [Cited by 136 ]
FUHRER, J.C. and G. MOORE, 1993. Inflation persistence. . [Cited by 447 ]
GRINBLATT and TITMAN, 1992. The Persistence of Mutual Fund Performance
GRINBLATT, M. and S. TITMAN, 1991. The persistence of mutual fund performance. [Cited by 142 ]
HENDRICKS, D., J. PATEL and R. ZECKHAUSER, 1993. Hot hands in mutual funds: Short-run persistence of relative performance, 1974-1988 . Journal of Finance. [Cited by 123 ]
HENDRICKS, PATEL and ZECKHAUSER, 1993. Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988
HOSKING, J.R.M., 1984. Modeling Persistence in Hydrological Time Series Using Fractional Differencing . Water Resources Research. [Cited by 152 ]
KOOP, et al ., 1995. Bayesian Analysis of Long Memory and Persistence using ARFIMA Models
LAMOUREUX, C.G. and W.D. LASTRAPES, 1990. Persistence in variance, structural change and the GARCH model . Journal of Business and Economic Statistics. [Cited by 206 ]
LeBaron, 1992. Persistence of the Dow Jones Index on Rising Volume
NELSON, D.B., 1989. Stationarity and persistence in the GARCH (1, 1) model. [Cited by 265 ]
NG and RUGE-MURCIA, 1997. Explaining the Persistence of Commodity Prices
PISSARIDES, C.A., 1992. Loss of skill during unemployment and the persistence of employment shocks . Quarterly Journal of Economics. [Cited by 99 ]
POTERBA, J., L.H. SUMMERS and M.P. PAGE, 1984. The persistence of volatility and stock market fluctuations . [Cited by 119 ]
SINGLETON and WINGENDER, 1986. Skewness Persistence in Common Stock Returns
ZHUANG, GREEN and MAGGIONI, 2000. The Great Rebound, The Great Crash, and Persistence in British Stock Prices