Australian Retail Fund Performance Persistence
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Altmetric Citations
Bilson, Chris; Frino, Angela; Heaney, Richard
Description
The present study extends the Australian fund performance persistence literature through the use of five performance metrics: raw returns, the Sharpe ratio, the single-factor model and two multifactor models, the Carhart (1997) model and the Gruber (1996) model, in analysis of Australian retail fund performance over the period 1991-2000. Analysis suggests that performance persistence is sensitive to fund objective and appears to be driven by inadequate adjustment for risk.
Collections | ANU Research Publications |
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Date published: | 2005 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/30570 |
Source: | Accounting and Finance |
DOI: | 10.1111/j.1467-629x.2004.00121.x |
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File | Description | Size | Format | Image |
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01_Bilson_Australian_Retail_Fund_2005.pdf | 112.43 kB | Adobe PDF | Request a copy |
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