IDEAS home Printed from https://ideas.repec.org/a/kap/rqfnac/v32y2009i1p85-100.html
   My bibliography  Save this article

Performance persistence and its influence on money and investor flows into Spanish pension plans

Author

Listed:
  • Luis Ferruz
  • Luis Vicente
  • Laura Andreu

Abstract

No abstract is available for this item.

Suggested Citation

  • Luis Ferruz & Luis Vicente & Laura Andreu, 2009. "Performance persistence and its influence on money and investor flows into Spanish pension plans," Review of Quantitative Finance and Accounting, Springer, vol. 32(1), pages 85-100, January.
    • Handle: RePEc:kap:rqfnac:v:32:y:2009:i:1:p:85-100
    DOI: 10.1007/s11156-008-0087-6
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11156-008-0087-6
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11156-008-0087-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Terrence Hallahan & Robert Faff, 2001. "Induced persistence or reversals in fund performance?: the effect of survivorship bias," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 119-126.
    2. Patel, Jayendu & Zeckhauser, Richard & Hendricks, Darryll, 1991. "The Rationality Struggle: Illustrations from Financial Markets," American Economic Review, American Economic Association, vol. 81(2), pages 232-236, May.
    3. Rani Hoitash & Murugappa (Murgie) Krishnan, 2008. "Herding, momentum and investor over-reaction," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 25-47, January.
    4. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    5. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December.
    6. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    7. Lehmann, Bruce N & Modest, David M, 1987. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-265, June.
    8. Lee, Cheng-few & Porter, David C & Weaver, Daniel G, 1998. "Indirect Tests of the Haugen-Lakonishok Small-Firm/January Effect Hypotheses: Window Dressing versus Performance Hedging," The Financial Review, Eastern Finance Association, vol. 33(2), pages 177-193, May.
    9. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-461, October.
    10. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    11. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    12. Kon, Stanley J & Jen, Frank C, 1979. "The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency," The Journal of Business, University of Chicago Press, vol. 52(2), pages 263-289, April.
    13. repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
    14. Carpenter, Jennifer N. & Lynch, Anthony W., 1999. "Survivorship bias and attrition effects in measures of performance persistence," Journal of Financial Economics, Elsevier, vol. 54(3), pages 337-374, December.
    15. Guercio, Diane Del & Tkac, Paula A., 2002. "The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(4), pages 523-557, December.
    16. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-157, April.
    17. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gökçen, Umut & Yalçın, Atakan, 2015. "The case against active pension funds: Evidence from the Turkish Private Pension System," Emerging Markets Review, Elsevier, vol. 23(C), pages 46-67.
    2. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
    3. Elyas Elyasiani & Jingyi Jia, 2011. "Performance persistence of closed-end funds," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 381-408, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
    2. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
    3. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
    4. Deaves, Richard, 2004. "Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 673-694, March.
    5. Mazur, Mieszko & Salganik-Shoshan, Galla & Zagonov, Maxim, 2017. "Comparing performance sensitivity of retail and institutional mutual funds’ investment flows," Finance Research Letters, Elsevier, vol. 22(C), pages 66-73.
    6. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    7. Lawrence Kryzanowski & Abdul Rahman, 2008. "Portfolio performance ambiguity and benchmark inefficiency revisited," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 321-332, December.
    8. Lehmann, Bruce & Timmermann, Allan, 2007. "Performance measurement and evaluation," LSE Research Online Documents on Economics 24505, London School of Economics and Political Science, LSE Library.
    9. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.
    10. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
    11. Allen, Douglas E. & McGoun, Elton G. & Kester, George W., 2000. "A sociological explanation of financial market growth," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 421-432.
    12. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
    13. Klaas P. Baks & Andrew Metrick & Jessica Wachter, 2001. "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Journal of Finance, American Finance Association, vol. 56(1), pages 45-85, February.
    14. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
    15. Lunde, Asger & Timmermann, Allan & Blake, David, 1999. "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 121-152, April.
    16. Laurent Barras & Olivier Scaillet & Russ Wermers, 2010. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
    17. Pendaraki, K. & Zopounidis, C. & Doumpos, M., 2005. "On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds," European Journal of Operational Research, Elsevier, vol. 163(2), pages 462-481, June.
    18. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 38(1), pages 41-67, August.
    19. Scott Bennett & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Yuki Xi, 2018. "A new perspective on performance persistence: evidence using portfolio holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 91-125, March.
    20. Jacquelyn E. Humphrey & Michael A. O’Brien, 2010. "Persistence and the four‐factor model in the Australian funds market: a note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(1), pages 103-119, March.

    More about this item

    Keywords

    Pension plans; Investor behavior; Investor flows; Contingency tables; G11;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:32:y:2009:i:1:p:85-100. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.