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What explains performance persistenc...

Xu, Dan.

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What explains performance persistence of corporate bond mutual funds?

Record Type:	Electronic resources : Monograph/item
Title/Author:	What explains performance persistence of corporate bond mutual funds?/
Author:	Xu, Dan.
Description:	80 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-01, Section: A, page: 0285.
Contained By:	Dissertation Abstracts International66-01A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3161665
ISBN:	0496952862

What explains performance persistence of corporate bond mutual funds?
Xu, Dan.

What explains performance persistence of corporate bond mutual funds? - 80 p.

Source: Dissertation Abstracts International, Volume: 66-01, Section: A, page: 0285.

Thesis (Ph.D.)--The University of Arizona, 2005.

This paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors.

ISBN: 0496952862Subjects--Topical Terms:

626650
Economics, Finance.

What explains performance persistence of corporate bond mutual funds?
LDR:01832nmm 2200265 4500 001 1812105
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020 $a 0496952862
035 $a (UnM)AAI3161665
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100 1 $a Xu, Dan. $3 1090355
245 1 0 $a What explains performance persistence of corporate bond mutual funds?
300 $a 80 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-01, Section: A, page: 0285.
500 $a Adviser: William F. Maxwell.
502 $a Thesis (Ph.D.)--The University of Arizona, 2005.
520 $a This paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors.
590 $a School code: 0009.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a The University of Arizona. $3 1017508
773 0 $t Dissertation Abstracts International $g 66-01A.
790 1 0 $a Maxwell, William F., $e advisor
790 $a 0009
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3161665