Huij, Joop; Derwall, Jeroen - In: Journal of Banking & Finance 32 (2008) 4, pp. 559-572
We investigate persistence in the relative performance of 3549 bond mutual funds from 1990 to 2003. We show that bond funds that display strong (weak) performance over a past period continue to do so in future periods. The out-of-sample difference in risk-adjusted return between the top and...