Short-Term Persistence in Mutual Fund Performance
用日度回报和季度数据估计基金选股与择时模型，发现按异常收益排名后，前十分位基金下一季度平均异常收益为39个基点，但长期评估时消失，说明优异业绩仅短期存在。
We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top decile in the post-ranking quarter is 39 basis points. The post-ranking abnormal return disappears when funds are evaluated over longer periods. These results suggest that superior performance is a short-lived phenomenon that is observable only when funds are evaluated several times a year. Copyright 2005, Oxford University Press.