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- Publisher
- Wiley
- Copyright
- © The Authors. Journal compilation © 2009 AFAANZ
- ISSN
- 0810-5391
- eISSN
- 1467-629X
- DOI
- 10.1111/j.1467-629X.2009.00317.x
- Publisher site
- See Article on Publisher Site
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.
Journal
Accounting & Finance – Wiley
Published: Mar 1, 2010