New Zealand mutual funds: Measuring performance and persistence in performance

Accounting and Finance

Volumn 46, Issue 3, 2006, Pages 347-363

  Bauer, Rob ^a   Otten, Rogér ^a   Rad, Alireza Tourani ^b  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b AUCKLAND UNIVERSITY OF TECHNOLOGY   (New Zealand)

Author keywords

Mutual funds; Performance evaluation

Indexed keywords

EID: 33747517240     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629x.2006.00171.x     Document Type: Article

References (32)

1. Allen, D. E., and M. L. Tan, 1999, A test of the persistence in the performance of UK managed funds, Journal of Business Finance and Accounting 26, 559-593.
2. Brown, S. J., and W. N. Goetzmann, 1995, Performance Persistence, Journal of Finance 50, 679-698.
3. Brown, S. J., W. N. Goetzmann, R. G. Ibbotson, and S. A. Ross, 1992, Survivorship bias in performance studies, Review of Financial Studies 5, 553-580.
4. Carhart, M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
5. Chan, L. K., N. Jegadeesh, and J. Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681-1714.
6. Chen, Z., and P. J. Knez, 1996, Portfolio performance measurement: theory and applications, Review of Financial Studies 9, 511-556.
7. Elton, E., M. Gruber, S. Das, and C. Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 69, 133-157.
8. Fama, E., and K. R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
9. Fama, E., and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-53.
10. Fama, E., and K. R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51,55-84.
11. Ferson, W., and R. Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, 425-462.
12. Gallagher, D., and E. Jarnecic, 2004, International equity funds, performance and investor flows: Australian evidence, Journal of Multinational Financial Management 14, 81-95.
13. Grinblatt, M., and S. Titman, 1989, Mutual fund performance: an analysis of quarterly portfolio holdings, Journal of Business 62, 393-416.
14. Grinblatt, M., and S. Titman, 1992, The persistence of mutual fund performance, Journal of Finance 47,1977-1984.
15. Goetzmann, W., and R. Ibbotson, 1994, Do winners repeat? Patterns in mutual fund behaviour, Journal of Portfolio Management, 9-18.
16. Hendricks, D., J. Patel, and R. Zeckhauser, 1993, Hot hands in mutual funds: short-run persistence of relative performance, 1974-1988, Journal of Finance 48, 93-130.
17. Hallahan, T. A., and R. W. Faff, 1999, An examination of Australian equity trusts for selectivity and market timing performance, Journal of Multinational Financial Management 9, 387-402.
18. Holmes, K. A., and R. W. Faff, 2004, Stability, asymmetry and seasonality of fund performance: an analysis of Australian multi-sector funds, Journal of Business Finance and Accounting 31,539-578.
19. Ippolito, R., 1989, Efficiency with costly information: a study of mutual fund performance, Quarterly Journal of Economics 104, 1-23.
20. Jagannathan, R., and R. Korajczyk, 1986, Assessing the market timing performance of managed portfolios, Journal of Business 59, 217-235.
21. Jegadeesh, N., and S. Titman, 1993, Returns to buying winners and selling losers: implications for stock market efficiency, Journal of Finance 48, 65-1.
22. Jensen, M., 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.
23. Morey, M., 2003, Should you carry the load? A comprehensive analysis of load and no load mutual fund out-of-sample performance, Journal of Banking and Finance 27, 1245-1271.
24. Otten, R., and D. Bams, 2002, European mutual fund performance, European Financial Managements, 75-101.
25. Pesaran, M., and A. Timmerman, 1995, Predictability of stock returns: robustness and economic significance, Journal of Finance 50,1201-1228.
26. Sawicki, J., and F. Ong, 2000, Evaluating managed fund performance using conditional measures: Australian evidence, Pacific-Basin Finance Journal 8, 505-528.
27. Sharpe, W. F., 1966, Mutual fund performance, Journal of Business 39,119- 138.
28. Sirri, E. R., and P. Tufano, 1998, Costly search and mutual fund flows, Journal of Finance 53, 1589-1622.
29. Treynor, J., and K. Mazuy, 1966, Can mutual fund outguess the market, Harvard Business Review 44, 131-136.
30. Vos, E., P. Brown, and S. Christie, 1995, A test of persistence in the performance of NZ and Australian equity mutual funds, Accounting Research Journal 8, 19-34.
31. Wermers, R., 2000, Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs and expenses, Journal of Finance 55, 1655-1695.
32. Zheng, L., 1999, Is money smart? A study of mutual fund investors' fund selection ability, Journal of Finance 54, 901-933.