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Mutual Fund Performance In Developing And Advanced World Networks

Author

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  • KEYI ZHANG

    (Department of Economics, Simon Fraser University, Canada)

  • RAMAZAN GENÇAY

    (Department of Economics, Simon Fraser University, Canada)

Abstract

We propose a new determinant of mutual fund performance persistence. We argue that different funds have different abilities to generate persistent performance and that such heterogeneity across funds can be explained by fund manager access to market information. To justify this hypothesis, we construct a network of mutual funds based on the commonality of their stock holdings and use network features to characterize how well a fund acquires and utilizes market information. Based on a sample of U.S. equity funds from 2001 to 2014, we find that a mutual fund with more complete information is more likely to possess momentum in performance.

Suggested Citation

  • Keyi Zhang & Ramazan Gençay, 2019. "Mutual Fund Performance In Developing And Advanced World Networks," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(02), pages 399-421, March.
    • Handle: RePEc:wsi:serxxx:v:64:y:2019:i:02:n:s0217590817500254
    DOI: 10.1142/S0217590817500254
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