What Explains Performance Persistence of Corporate Bond Mutual Funds?

This paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven b...

Full description

Bibliographic Details
Main Author: Xu, Dan
Other Authors: Maxwell, William F.
Language:EN
Published: The University of Arizona. 2005
Online Access:http://hdl.handle.net/10150/195219
id ndltd-arizona.edu-oai-arizona.openrepository.com-10150-195219
record_format oai_dc
spelling ndltd-arizona.edu-oai-arizona.openrepository.com-10150-1952192015-10-23T04:42:18Z What Explains Performance Persistence of Corporate Bond Mutual Funds? Xu, Dan Maxwell, William F. Maxwell, William F. Kahle, Kathleen Yao, Tong Oaxaca, Ronald Wooders, John This paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors. 2005 text Electronic Dissertation http://hdl.handle.net/10150/195219 137353619 1034 EN Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author. The University of Arizona.
collection NDLTD
language EN
sources NDLTD
description This paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors.
author2 Maxwell, William F.
author_facet Maxwell, William F.
Xu, Dan
author Xu, Dan
spellingShingle Xu, Dan
What Explains Performance Persistence of Corporate Bond Mutual Funds?
author_sort Xu, Dan
title What Explains Performance Persistence of Corporate Bond Mutual Funds?
title_short What Explains Performance Persistence of Corporate Bond Mutual Funds?
title_full What Explains Performance Persistence of Corporate Bond Mutual Funds?
title_fullStr What Explains Performance Persistence of Corporate Bond Mutual Funds?
title_full_unstemmed What Explains Performance Persistence of Corporate Bond Mutual Funds?
title_sort what explains performance persistence of corporate bond mutual funds?
publisher The University of Arizona.
publishDate 2005
url http://hdl.handle.net/10150/195219
work_keys_str_mv AT xudan whatexplainsperformancepersistenceofcorporatebondmutualfunds
_version_ 1718099491567960064