Italian Equity Funds: Efficiency and Performance Persistence

24 Pages Posted: 20 May 2008

See all articles by Roberto Casarin

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice

Andrea Piva

University of Venice

Multiple version iconThere are 2 versions of this paper

Date Written: May 2008

Abstract

Have Italian mutual funds been able to generate "extra-return"? Were some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. We show that, in general, fund managers have not been able to score extra-performances and only few managers had stock picking ability or market timing ability. This evidence is consistent with the market efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk-adjusted returns on four-month using cross-section tests. However, as soon as we analyse yearly intervals any evidence of persistence disappears.

Keywords: Mutual funds, Performance evaluation

JEL Classification: G23, G21,G10, G12

Suggested Citation

Casarin, Roberto and Pelizzon, Loriana and Piva, Andrea, Italian Equity Funds: Efficiency and Performance Persistence (May 2008). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 12_08, Available at SSRN: https://ssrn.com/abstract=1134723 or http://dx.doi.org/10.2139/ssrn.1134723

Roberto Casarin (Contact Author)

University Ca' Foscari of Venice - Department of Economics ( email )

San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

HOME PAGE: http://sites.google.com/view/robertocasarin

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, D-60323
Germany

Leibniz Institute for Financial Research SAFE ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.safe-frankfurt.de

Ca Foscari University of Venice ( email )

Dorsoduro 3246
Venice, Veneto 30123
Italy

Andrea Piva

University of Venice ( email )

Dorsoduro 3246
Venice, Veneto 30123
Italy

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