On Persistence in Mutual Fund Performance
1997/03/01 by Mark M. Carhart · 17,115 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Auditing, Earnings Management, Governance #Business #Closed-end fund #Corporate Finance and Governance #Corporate governance #Econometrics #Economics #Equity (law) #Finance #Financial Markets and Investment Strategies #Financial economics #Fund of funds #Geography #Institutional investor #Momentum (technical analysis) #Monetary economics #Mutual fund #Open-end fund #Persistence (discontinuity) #Political science #Portfolio #Stock (firearms)
paper · pdf · doi:10.1111/j.1540-6261.1997.tb03808.x
published in The Journal of Finance 52(1), 57-82 (Wiley)
openalex publication_date 1997/03/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Abstract
ABSTRACT Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk‐adjusted returns. Hendricks, Patel and Zeckhauser's (1993) “hot hands” result is mostly driven by the one‐year momentum effect of Jegadeesh and Titman (1993) , but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst‐return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
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