Persistence and the four‐factor model in the Australian funds market: a note |
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| Authors: | Jacquelyn E Humphrey Michael A O’Brien |
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| Institution: | 1. UQ Business School, University of Queensland, St Lucia, Qld 4072, Australia;2. Schroders Investment Management, Sydney, NSW 2000, Australia |
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| Abstract: | We investigate whether Australian fund managers are able to deliver persistent performance using Carhart’s (1997) four‐factor model. Short‐ and long‐term persistence is examined and the sample is also divided into unit trusts and superannuation funds. We do not find evidence of persistence in any sample of funds. We find that winner (loser) funds tend to hold past winner (loser) stocks. Winner and loser unit trusts both appear to have positive exposure to small stocks. |
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| Keywords: | Funds Persistence Four‐factor model G11 G23 |
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