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Estimating short-run persistence in mutual fund performance

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  • Ter Horst, J.R.

    (Tilburg University, School of Economics and Management)

  • Verbeek, M.J.C.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Ter Horst, J.R. & Verbeek, M.J.C.M., 1997. "Estimating short-run persistence in mutual fund performance," Other publications TiSEM 48e11691-6431-4892-9c62-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:48e11691-6431-4892-9c62-f17a62249ce2
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    References listed on IDEAS

    as
    1. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    2. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    3. 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.
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