IDEAS home Printed from https://ideas.repec.org/a/kap/rqfnac/v37y2011i3p381-408.html
   My bibliography  Save this article

Performance persistence of closed-end funds

Author

Listed:
  • Elyas Elyasiani
  • Jingyi Jia

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:kap:rqfnac:v:37:y:2011:i:3:p:381-408
    DOI: 10.1007/s11156-010-0209-9
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11156-010-0209-9
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11156-010-0209-9?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. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
    2. repec:bla:jfinan:v:44:y:1989:i:2:p:479-86 is not listed on IDEAS
    3. 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.
    4. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    5. Gili Yen & Cheng-few Lee, 2008. "Efficient Market Hypothesis (EMH): Past, Present and Future," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 305-329.
    6. Fletcher, Jonathan, 1997. "An Examination of UK Unit Trust Performance within the Arbitrage Pricing Theory Framework," Review of Quantitative Finance and Accounting, Springer, vol. 8(2), pages 91-107, March.
    7. Brown, Stephen J & Goetzmann, William N, 1995. "Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    8. Grinblatt, Mark & Titman, Sheridan, 1992. "The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    9. A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
    10. Chen, Jeng-Hong & Jiang, Christine X. & Kim, Jang-Chul & McInish, Thomas H., 2003. "Bid-Ask Spreads, Information Asymmetry, and Abnormal Investor Sentiment: Evidence from Closed-End Funds," Review of Quantitative Finance and Accounting, Springer, vol. 21(4), pages 303-321, December.
    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. Kuei-Yuan Wang & Su-Chun Peng & Yen-Sheng Huang, 2009. "The Intraday Performance of Contrarian Strategies: Evidence from the Taiwan Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 655-674.
    13. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    14. Malkiel, Burton G, 1995. "Returns from Investing in Equity Mutual Funds 1971 to 1991," Journal of Finance, American Finance Association, vol. 50(2), pages 549-572, June.
    15. Hendricks, Darryll & Patel, Jayendu & Zeckhauser, Richard, 1993. "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988," Journal of Finance, American Finance Association, vol. 48(1), pages 93-130, March.
    16. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411-411.
    17. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
    18. 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.
    19. Martin Cherkes & Jacob Sagi & Richard Stanton, 2009. "A Liquidity-Based Theory of Closed-End Funds," The Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 257-297, January.
    20. Madura, Jeff & Bers, Martina K., 2002. "The performance persistence of foreign closed-end funds," Review of Financial Economics, Elsevier, vol. 11(4), pages 263-285.
    21. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    22. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    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. Mayank Patel & Vinodh Madhavan & Supratim Gupta, 2022. "Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 46-61, February.
    2. Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016. "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 192-231.
    3. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.
    4. Patel, Mayank & Madhavan, Vinodh & Gupta, Supratim Das & Kumar, Satish, 2023. "Performance persistence and style consistency of Indian fixed income mutual funds – A longitudinal study," International Review of Financial Analysis, Elsevier, vol. 86(C).
    5. Veeravel. V & A. Balakrishnan, 2023. "Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 37-48, March.
    6. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.

    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. Ioannis D Vrontos & Loukia Meligkotsidou & Spyridon D Vrontos, 2011. "Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility," Journal of Asset Management, Palgrave Macmillan, vol. 12(4), pages 292-307, September.
    2. Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2017. "Performance persistence in Chinese securities investment funds," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1467-1477.
    3. 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.
    4. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
    5. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
    6. Chris Bilson & Angela Frino & Richard Heaney, 2005. "Australian retail fund performance persistence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(1), pages 25-42, March.
    7. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
    8. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
    9. Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
    10. Rob Bauer & Rogér Otten & Alireza Tourani Rad, 2006. "New Zealand mutual funds: measuring performance and persistence in performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(3), pages 347-363, September.
    11. Olaf Stotz, 2009. "Predicting returns of equity mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 10(3), pages 158-169, August.
    12. Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
    13. 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.
    14. Clemens Sialm & Hanjiang Zhang, 2020. "Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 75(2), pages 735-777, April.
    15. 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.
    16. 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.
    17. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2009. "Endogenous benchmarks," CFR Working Papers 10-02, University of Cologne, Centre for Financial Research (CFR).
    18. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
    19. Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016. "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 192-231.
    20. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 973-997, March.

    More about this item

    Keywords

    Closed-end fund; Persistence; Contingency tables; Jensen’s alpha; G11; G12; G14; G23;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    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:37:y:2011:i:3:p:381-408. 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.