Author(s): Leite, Paulo ; Faria, Orlando ; Armada, Manuel José da Rocha
Date: 2016
Persistent ID: http://hdl.handle.net/1822/45029
Origin: RepositóriUM - Universidade do Minho
Subject(s): Bond funds; Fund performance evaluation; Performance persistence; Market crises; Social Sciences; Ciências Sociais::Economia e Gestão
We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001–2012 period. Besides avoiding data mining, we also introduce a methodological innovation in assessing bond fund performance persistence. Our results show that bond funds underperform significantly both during crisis and non-crisis periods. Besides, we find strong evidence of performance persistence, for both short- and longer-term horizons, during non-crisis periods but not during the debt crisis. In this way, the persistence phenomenon in small markets seems to occur only during non-crisis periods and this is valuable information for bond fund investors to exploit.
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