The Persistence of Mutual Fund Performance
分析共同基金业绩与过去业绩的关系，基于证券特征构建多投资组合基准，发现基金业绩差异随时间持续，且与基金经理获取超额收益的能力一致。
ABSTRACT This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.