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The Persistence of Mutual Fund Performance

Authors

  • MARK GRINBLATT,

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    • Anderson Graduate School of Management, UCLA. Titman is also from The Hong Kong University of Science and Technology. We wish to thank James Brandon and Erik Sirri for research assistance on earlier versions of this research and the editors and referees, as well as Russ Wermers, for their comments.

  • SHERIDAN TITMAN

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    • Anderson Graduate School of Management, UCLA. Titman is also from The Hong Kong University of Science and Technology. We wish to thank James Brandon and Erik Sirri for research assistance on earlier versions of this research and the editors and referees, as well as Russ Wermers, for their comments.


ABSTRACT

This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.

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