Short-Term Persistence in Mutual Fund Performance

By Nicolas P. B. Bollen, Jeffrey A. Busse. 2005

619 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bff99082b1411d6fe4265318f4ad6ac9da55b612

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Citations in the corpus

Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, neutral): “Several recent studies on mutual funds (see, e.g.,Kacperczyk and Seru 2007; Bollen and Busse 2005; Busse and Irvine 2006) find evidence that funds can sustain relative performance beyond expenses or momentum over adjacent periods.”
Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2018, background): “However, others such as Wermers (2000), Bollen and Busse (2005), Kosowski, Timmermann, Wermers, and White (2006), and Cremers and Petajisto (2009), find evidence that managers are skilled.”
A flow-based explanation for return predictability (2012, neutral): “More recently, Bollen and Busse (2005) and Cohen, Coval, and Pastor (2005) report stronger performance persistence by using daily mutual fund return data and a more refined measure of fund alpha, respectively.”
Network centrality and pension fund performance (2015, neutral): “[6] Bollen, N.”
The Economic Virtues of SRI and CSR (2007, background): “Hendricks, Patel and Zeckhauser (1993), Brown and Goetzmann (1995), Bollen and Busse (2005) and others document persistence in the performance of actively managed funds over various short-term investment horizons.”
Unobserved Actions of Mutual Funds (2008, neutral): “18 See Hendricks, Patel, and Zeckhauser (1993), Brown and Goetzmann (1995), Elton, Gruber, and Blake (1996), Carhart (1997), Bollen and Busse (2005), and Mamaysky, Spiegel, and Zhang (2005) for studies on the persistence of mutual fund performance.”
Estimating the Dynamics of Mutual Fund Alphas and Betas (2008, neutral): “This contrasts with Bollen and Busse (2001) (hereafter BB) who, using the OLS models proposed by Treynor and Mazuy (1966) and Henriksson and Merton (1981), do not find such ability with monthly data.”
Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003, background): “Chen, Jegadeesh, and Wermers (1999) find that stocks most actively purchased by funds beat those most actively sold by over two percent per year, while Bollen and Busse (2002) find evidence of persistence in quarterly fund performance.”
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance (2007, positive): “More interestingly, we are able to capture short-run persistence in abnormal performance as documented by Bollen and Busse (2005) using monthly data for a much larger and more recent sample of US equity funds.”