We re-examine performance persistence amongst UK mutual funds. Specifically, we investigate performance persistence among small portfolios of past high-performing funds. In contrast to the more common analysis of decile portfolios of funds, we focus on persistence in the more extreme positive...

[We develop a performance evaluation model that incorporates the factors proposed by Huij and Derwall (2008) and a fund-specific benchmark to analyse the performance of US fixed income funds. Using the full sample, and accounting for the possibility of false discoveries we find fund management...

The authors test the expectations hypothesis (EH) of the term structure using U.K. and German weekly data on short dated instruments with maturities up to one year. For both data sets comprising k interest rates the authors find that the rank of the cointegrating space is (k - 1); but they can...

Using a number of maturities of up to one year and weekly high quality data on U.K. certificate of deposit rates, 1975-92, the authors provide a variety of tests of the expectations hypothesis of the term structure. Their results appear to give more support to the expectations hypothesis than do...

We investigate the performance of winners and losers for German equity mutual funds (1990-2009), using empirical order statistics. When using gross returns and the Fama-French three-factor model, the number of statistically significant positive alpha funds is zero but increases markedly when...

We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of <link rid="b44">Treynor-Mazuy (1966)</link> and <link rid="b31">Henriksson-Merton (1981)</link>. We find a relatively small number of...

We investigate the performance of the German equity mutual fund industry over 20years (monthly data 1990–2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama–French three factor (3F) model (with no market timing) we find...