This research evaluates whether the persistence of mutual fund performance is related to the momentum effect of stock returns. Empirical results reveal that, regardless of which time horizon we analyze, the positive performance of mutual funds tends to persist. The persistence of mutual fund performance, however, is not related to the momentum effect, which is measured by the momentum variable, either PR0.5YR or PR1YR. We conclude that the momentum effect of stock returns does not account for the persistence of mutual fund performance.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0809107-143455 |
| Date | 09 August 2007 |
| Creators | Lin, Po-heng |
| Contributors | Henry Y. Lo, Y. Chris Liao, Hsioujen Kuo |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0809107-143455 |
| Rights | not_available, Copyright information available at source archive |
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