Performance persistence of Australian institutional equity investors from 1989 to 1999

Ferguson,Jane (1999) Performance persistence of Australian institutional equity investors from 1989 to 1999 The University of Queensland:

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Author Ferguson,Jane
Title of report Performance persistence of Australian institutional equity investors from 1989 to 1999
Publication date 1999
Place of publication The University of Queensland
Total pages 55
Subjects 14 Economics
Formatted abstract
This report contributes to an understanding of performance persistence within the Australian institutional equity market. In particular, the proposition that past performance data cannot be used for predicting future performance is assessed.

This study utilised contingency table and correlation analysis to measure performance consistency. Data analysed consisted of annualised returns for 56 portfolios covering the ten year period 1989 to 1999. The benchmark data utilised in this study is the All Ordinaries Accumulation Index.

The results endorse the proposition, in that performance persistence defies the conventional wisdom within the investment industry that past performance can provide valuable information on future performance.


Document type: Research Report
Collection: MBA reports
 
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Created: Wed, 08 Dec 2010, 15:09:22 EST by Mr Yun Xiao on behalf of The University of Queensland Library