Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds

To analyze persistence in mutual fund performance, it is common practice to construct portfolios of funds based on past fund returns. Using a large sample of equity and bond funds, we show that this approach introduces dynamic exposures to common stock and bond risk factors. Correcting for risk dynamics substantially reduces the level of persistence in risk-adjusted performance and drives out the explanatory power of stock and bond momentum factors

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Year of publication:	[2008]
Authors:	Martens, Martin
Other Persons:	Post, Thierry (contributor) ; Huij, Joop (contributor)
Publisher:	[2008]: [S.l.] : SSRN

Extent:	1 Online-Ressource (38 p)
Series:	ERIM Report Series
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2, 2007 erstellt
Other identifiers:	10.2139/ssrn.967720 [DOI]
Classification:	G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012726667