Naslov (eng)

Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns

Autor

Božović, Miloš

Opis (eng)

Abstract: This paper analyzes the performance persistence of US-based emerging-market mutual funds. We use a sample of 275 actively managed funds between July 1989 and December 2020 and regress their returns on emerging-market benchmark portfolios. On average, the funds had a significant negative alpha. Contrary to some earlier evidence, we document that the short-term consistency is entirely driven by losses of underperforming funds. The return spread between the short-term winners and losers generates a significant positive alpha that can be fully explained by the momentum in emerging-market stocks. We find no evidence of any long-term regularities. Our findings show that the observed funds exhibit very similar behavior to their developed-market counterparts and may contribute to resolving some inconsistencies in the earlier results.

Opis (eng)

This research was financially supported by the Ministry of Education, Science and Technological Development of the Republic of Serbia . I am thankful to the anonymous reviewers for their valuable comments and suggestions. The usual disclaimer applies.

Jezik

engleski

Datum

2022

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Keywords: Active strategy; Diversified equity; Emerging markets; Fama–French factors; Momentum; Mutual funds

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Ekonomski fakultet