This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions...

The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for...

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioned on the level of overall hedge fund sector...

The research object of this paper is to scrutinize the risk-adjusted returns of the five largest Croatian open-end equity mutual funds (ZB Aktiv, PBZ Equity, Raiffeisen Central Europe, Erste Adriatic Equity, and ZB Trend), and to compare each of them individually with a selection of the...

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual funds analysis more complex and sometimes risky. In this study we propose to identify the most relevant indicators to classify mutual funds based on their statistical properties....

Performance persistence in the private equity industry is not long-lived. Current fund performance is positively and significantly associated with the performance of the first follow-on fund, but the magnitude of persistence substantially declines afterwards. Persistence, if any, is largely...

This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...