Short-Term Persistence in Norwegian Equity Mutual Funds
Masteroppgave, 20 credits / 30 HE creditsStudent thesis
In order to analyze short-term persistence in Norwegian equity mutual fund returns, two methods are applied. The backbone for both of them is a sorting procedure that creates four equally weighted portfolios based on lagged one-year returns. These ranked portfolios are subject to three different holding strategies, i.e. they are rebalanced every one, six and twelve months. The first method uses the 4-factor model by Carhart to obtain risk-adjusted returns from all the portfolios. The second one analyzes rank dependency by utilizing contingency tables. The results are somewhat mixed. None of the ranked portfolios were able to create significant risk-adjusted alphas, but simple returns seem to be affected by rankings and the holding periods. Consistency in rankings is present when the portfolios are rebalanced every one and six months. Finally, persistent behavior is gradually diminishing as the post-formation period increases.
Place, publisher, year, edition, pages
2012. , 45 p.
IdentifiersURN: urn:nbn:no:ntnu:diva-17380OAI: oai:DiVA.org:ntnu-17380DiVA: diva2:552482
UppsokSocial and Behavioural Science, Law
Eikseth, Hans Marius, Høgskolelektor