Persistence and the four-factor model in the Australian funds market: A note

Humphrey, Jacquelyn E. and O'Brien, Michael A. (2010) Persistence and the four-factor model in the Australian funds market: A note. Accounting and Finance, 50 1: 103-119. doi:10.1111/j.1467-629X.2009.00317.x


Author Humphrey, Jacquelyn E.
O'Brien, Michael A.
Title Persistence and the four-factor model in the Australian funds market: A note
Journal name Accounting and Finance   Check publisher's open access policy
ISSN 0810-5391
1467-629X
Publication date 2010-03
Year available 2009
Sub-type Article (original research)
DOI 10.1111/j.1467-629X.2009.00317.x
Volume 50
Issue 1
Start page 103
End page 119
Total pages 17
Place of publication Richmond, Vic., Australia
Publisher Wiley-Blackwell Publishing Asia
Collection year 2011
Language eng
Abstract We investigate whether Australian fund managers are able to deliver persistent performance using Carhart's (1997) four-factor model. Short- and long-term persistence is examined and the sample is also divided into unit trusts and superannuation funds. We do not find evidence of persistence in any sample of funds. We find that winner (loser) funds tend to hold past winner (loser) stocks. Winner and loser unit trusts both appear to have positive exposure to small stocks. © The Authors. Journal compilation © 2009 AFAANZ.
Keyword Funds
Persistence
Four-factor model
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Available online 21 October 2009

Document type: Journal Article
Sub-type: Article (original research)
Collections: 2010 Higher Education Research Data Collection
UQ Business School Publications
 
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Created: Thu, 29 Oct 2009, 11:18:08 EST by Karen Morgan on behalf of UQ Business School