Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/45029
Título: | The impact of the Eurozone sovereign debt crisis on bond fund performance persistence: evidence from a small market |
Autor(es): | Leite, Paulo Faria, Orlando Armada, Manuel José da Rocha |
Palavras-chave: | Bond funds Fund performance evaluation Performance persistence Market crises |
Data: | 2016 |
Editora: | Taylor and Francis |
Revista: | Investment Analysts Journal |
Resumo(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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/45029 |
DOI: | 10.1080/10293523.2016.1195033 |
ISSN: | 1029-3523 |
Versão da editora: | http://www.tandfonline.com/doi/full/10.1080/10293523.2016.1195033 |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Leite, Faria, Armada, 2016.pdf Acesso restrito! | 6,79 MB | Adobe PDF | Ver/Abrir |