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Do fixed income mutual fund managers have managerial skills?

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  • Du, Ding
  • Huang, Zhaodan
  • Blanchfield, Peter J.

Abstract

Motivated by Berk and Green [Berk, J., & Green, R. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112, 1269-1295] and Chevalier and Ellison [Chevalier, J., & Ellison, G. (1999). Career concerns of mutual fund managers. Quarterly Journal of Economics, 114, 389-432] who show theoretically that performance persistence may be short-lived, we complement Bollen and Busse [Bollen, N., & Busse, J. A. (2004). Short-term persistence in mutual fund performance. Review of Financial Studies, 18, 569-597] and examine performance persistence in high-quality corporate-bond mutual funds over short horizons. Empirically, we find supporting evidence of performance persistence over shorter horizons. Our empirical tests also suggest that the performance persistence we document may be at least partly due to managerial skills.

Suggested Citation

  • Du, Ding & Huang, Zhaodan & Blanchfield, Peter J., 2009. "Do fixed income mutual fund managers have managerial skills?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 378-397, May.
    • Handle: RePEc:eee:quaeco:v:49:y:2009:i:2:p:378-397
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    3. Abbas Hejri, 2022. "On the recent developments of mutual funds with fixed‐income holdings: a systematic review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(2), pages 2313-2338, June.
    4. Dariusz Filip, 2021. "A Review of Main Strands on the Flow-Performance Relationship of Mutual Funds," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 7(3), pages 245-256, July.
    5. Keith Cuthbertson & Simon Hayley & Dirk Nitzsche, 2016. "Market and Style Timing: German Equity and Bond Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 667-696, September.
    6. Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
    7. Filip Dariusz & Rogala Tomasz, 2021. "Analysis of Polish mutual funds performance: a Markovian approach," Statistics in Transition New Series, Statistics Poland, vol. 22(1), pages 115-130, March.
    8. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    9. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.
    10. Henke, Hans-Martin, 2016. "The effect of social screening on bond mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 69-84.
    11. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
    12. Chris GROSE & Theodoros KARGIDIS, 2012. "Persistence In Performance For Mutual Funds In Periods Of Crisis," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(1), pages 85-98.
    13. Lipton, Amy F. & Kish, Richard J., 2010. "Robust performance measures for high yield bond funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 332-340, August.
    14. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
    15. Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.

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