Publicação
Are there “Hot Hands” in the french bond mutual fund market?
| Resumo: | The purpose of this dissertation is to investigate the performance of French bond funds and their persistence. The dataset consists of 304 bond-oriented French funds from January 2008 to December 2017. Fund performance is evaluated through a multi-factor model including four factors, namely, bond, default, option and equity factors. In general, most funds perform poorly during the period under analysis. To assess performance persistence, we use contingency tables for 6-month, 12-month and 24-month periods. The empirical results clearly demonstrate strong evidence of performance persistence, both for winning and losing funds. |
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| Autores principais: | Wang Mohan |
| Assunto: | Bonds fund Contingency tables French market Performance persistence Performance Desempenho Fundo de obrigações Mercado francês Persistência de desempenho Tabelas de contingência |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | The purpose of this dissertation is to investigate the performance of French bond funds and their persistence. The dataset consists of 304 bond-oriented French funds from January 2008 to December 2017. Fund performance is evaluated through a multi-factor model including four factors, namely, bond, default, option and equity factors. In general, most funds perform poorly during the period under analysis. To assess performance persistence, we use contingency tables for 6-month, 12-month and 24-month periods. The empirical results clearly demonstrate strong evidence of performance persistence, both for winning and losing funds. |
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