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Persistence in Mutual Funds in Latin American Emerging Markets

Author

Listed:
  • Luis Muga
  • Adriana Rodriguez
  • Rafael Santamaría

    (Luis Muga, Adriana Rodriguez and Rafael Santamaría are at the Department of Business Management, Public University of Novarre, Spain.)

Abstract

We find persistence in mutual fund performance both over consecutive time periods and in a multi-period setting. There is significant spread, persisting for at least two or three years, between the portfolio with funds from the top past return quintile and those from the bottom past return quintile. This spread remains unexplained by conventional risk factors. Finally, investors are observed to use information on persistence, since a significant positive relationship is shown to exist between fund flows and past returns, though this is a convex relationship, which is weaker in the region of bad returns.

Suggested Citation

  • Luis Muga & Adriana Rodriguez & Rafael Santamaría, 2007. "Persistence in Mutual Funds in Latin American Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(1), pages 1-37, January.
    • Handle: RePEc:sae:emffin:v:6:y:2007:i:1:p:1-37
    DOI: 10.1177/097265270700600101
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    References listed on IDEAS

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    Cited by:

    1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.

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    More about this item

    Keywords

    JEL Classification: G23; JEL Classification: G14; Mutual funds; persistence; performance; performance-flow relationship;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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