What daily data can tell us about mutual funds: Evidence from Norway

被引：7

作者：

Gallefoss, Kristoffer ^{[1
]}

Hansen, Helge Hoff ^{[1
]}

Haukaas, Eirik Solli ^{[1
]}

Molnar, Peter ^{[1
]}

机构：

[1] Norwegian Univ Sci & Technol, N-7034 Trondheim, Norway

来源：

JOURNAL OF BANKING & FINANCE | 2015年 / 55卷

关键词：

Mutual funds; Performance; Persistence; PERFORMANCE PERSISTENCE; INVESTMENT PERFORMANCE; SURVIVORSHIP BIAS; MARKET; RETURNS; BOOTSTRAP; RISK; MANAGERS; ALPHAS; SKILLS;

D O I：

10.1016/j.jbankfin.2015.02.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the performance and persistence of Norwegian mutual funds utilizing a new data set of daily returns. Daily data allow us to evaluate the performance over short time horizons in a reliable manner, which is important because the risk exposure of funds can change over time. We complement the existing literature by providing the first study based on daily data outside of the US. Our results show that the performance of top and bottom funds cannot be explained by luck. The performance of these top and bottom funds persists for short horizons, of only up to one year. The mutual fund industry as a whole underperforms the benchmark by approximately the fund fees. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：117 / 129

页数：13

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