Investigating Persistence in the US Mutual Fund Market: A Mobility Approach

IF 0.7 Q3 ECONOMICS Review of Economic Analysis Pub Date : 2015-11-27 DOI:10.15353/rea.v7i1.1485
Konstantinos Drakos, N. Giannakopoulos, P. Konstantinou
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引用次数: 1

Abstract

Performance persistence in the US mutual fund market is investigated, modeling risk-adjusted performance as a Markov Chain. This allows us to explore whether there is a higher probability for funds to remain in their initial ranking, compared to the probability that funds exhibit some kind of movement. We find some degree of inertia due to non-uniformity of transition probabilities across states. Our analysis allows also assesses the proximity of empirical transition matrices to two benchmark matrices, identifying the no-persistence/perfect immobility cases. We find that the observed transition matrices are closer to the no-persistence benchmark and also that performance persistence has decreased over time.
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研究美国共同基金市场的持续性:一种流动性方法
本文研究了美国共同基金市场的业绩持续性,并将风险调整后的业绩建模为马尔可夫链。这使我们能够探索,与基金表现出某种变动的可能性相比,基金保持在初始排名中的可能性是否更高。我们发现由于状态间跃迁概率的不均匀性,存在一定程度的惯性。我们的分析还允许评估经验过渡矩阵与两个基准矩阵的接近程度,确定无持久性/完美不动情况。我们发现观察到的转换矩阵更接近于无持久性基准,而且性能持久性随着时间的推移而下降。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
10
审稿时长
26 weeks
期刊最新文献
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