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TitleThe impact of the Eurozone sovereign debt crisis on bond fund performance persistence: evidence from a small market
Author(s)Leite, Paulo
Faria, Orlando
Armada, Manuel José da Rocha
KeywordsBond funds
Fund performance evaluation
Performance persistence
Market crises
Issue date2016
PublisherTaylor and Francis
JournalInvestment Analysts Journal
Abstract(s)We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001–2012 period. Besides avoiding data mining, we also introduce a methodological innovation in assessing bond fund performance persistence. Our results show that bond funds underperform significantly both during crisis and non-crisis periods. Besides, we find strong evidence of performance persistence, for both short- and longer-term horizons, during non-crisis periods but not during the debt crisis. In this way, the persistence phenomenon in small markets seems to occur only during non-crisis periods and this is valuable information for bond fund investors to exploit.
Publisher version
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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