Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/398
Title: | Performance persistence in fixed interest funds: With an eye on the post-debt crisis period |
Authors: | Grose, Chris Dasilas, Apostolos Alexakis, Christos |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Finance |
Issue Date: | 2014 |
Source: | Journal of International Financial Markets, Institutions and Money |
Volume: | 33 |
First Page: | 155 |
Last Page: | 182 |
Abstract: | We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain (PIGS) government debt mutual funds. Performance persistence is measured for short-, medium-, and long-term periods using the conditional CAPM, the Sharpe ratio, and a modified version of the Sharpe ratio. “Cold hands” are found for both short- and medium-term periods, with non-parametric testing reinforcing our findings. While “hot hands” are proven a close second place, in the long-run performance persistence is gradually weakened. Ex-post tests, based on performance persistence results, suggest the possibility to achieve superior performance relative to the market average by sticking to winner and avoiding loser funds. |
URI: | https://doi.org/10.1016/j.intfin.2014.07.010 https://ruomo.lib.uom.gr/handle/7000/398 |
ISSN: | 1042-4431 |
Other Identifiers: | 10.1016/j.intfin.2014.07.010 |
Appears in Collections: | Department of Applied Informatics |
Files in This Item:
File | Description | Size | Format | |
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Performance persistence in fixed interest funds. with an eye on the post-debt crisis period. Final.pdf | 1,22 MB | Adobe PDF | View/Open |
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