Do fixed income mutual fund managers have managerial skills?

Ding Du, Zhaodan Huang, Peter J. Blanchfield

Research output: Contribution to journalArticle

19 Citations (Scopus)

Abstract

Motivated by Berk and Green [Berk, J., & Green, R. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112, 1269-1295] and Chevalier and Ellison [Chevalier, J., & Ellison, G. (1999). Career concerns of mutual fund managers. Quarterly Journal of Economics, 114, 389-432] who show theoretically that performance persistence may be short-lived, we complement Bollen and Busse [Bollen, N., & Busse, J. A. (2004). Short-term persistence in mutual fund performance. Review of Financial Studies, 18, 569-597] and examine performance persistence in high-quality corporate-bond mutual funds over short horizons. Empirically, we find supporting evidence of performance persistence over shorter horizons. Our empirical tests also suggest that the performance persistence we document may be at least partly due to managerial skills.

Original languageEnglish (US)
Pages (from-to)378-397
Number of pages20
JournalQuarterly Review of Economics and Finance
Volume49
Issue number2
DOIs
StatePublished - May 2009
Externally publishedYes

Fingerprint

Performance persistence
Fixed income
Fund managers
Mutual funds
Managerial skills
Mutual fund performance
Empirical test
Corporate bonds
Mutual fund flows
Career concerns
Economics
Political economy
Persistence

Keywords

  • Corporate bond
  • Managerial skills
  • Mutual fund performance

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Do fixed income mutual fund managers have managerial skills? / Du, Ding; Huang, Zhaodan; Blanchfield, Peter J.

In: Quarterly Review of Economics and Finance, Vol. 49, No. 2, 05.2009, p. 378-397.

Research output: Contribution to journalArticle

Du, Ding ; Huang, Zhaodan ; Blanchfield, Peter J. / Do fixed income mutual fund managers have managerial skills?. In: Quarterly Review of Economics and Finance. 2009 ; Vol. 49, No. 2. pp. 378-397.
@article{ad5f31309d1d4435ac61ad45fc5db280,
title = "Do fixed income mutual fund managers have managerial skills?",
abstract = "Motivated by Berk and Green [Berk, J., & Green, R. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112, 1269-1295] and Chevalier and Ellison [Chevalier, J., & Ellison, G. (1999). Career concerns of mutual fund managers. Quarterly Journal of Economics, 114, 389-432] who show theoretically that performance persistence may be short-lived, we complement Bollen and Busse [Bollen, N., & Busse, J. A. (2004). Short-term persistence in mutual fund performance. Review of Financial Studies, 18, 569-597] and examine performance persistence in high-quality corporate-bond mutual funds over short horizons. Empirically, we find supporting evidence of performance persistence over shorter horizons. Our empirical tests also suggest that the performance persistence we document may be at least partly due to managerial skills.",
keywords = "Corporate bond, Managerial skills, Mutual fund performance",
author = "Ding Du and Zhaodan Huang and Blanchfield, {Peter J.}",
year = "2009",
month = "5",
doi = "10.1016/j.qref.2008.02.005",
language = "English (US)",
volume = "49",
pages = "378--397",
journal = "Quarterly Review of Economics and Finance",
issn = "1062-9769",
publisher = "Elsevier",
number = "2",

}

TY - JOUR

T1 - Do fixed income mutual fund managers have managerial skills?

AU - Du, Ding

AU - Huang, Zhaodan

AU - Blanchfield, Peter J.

PY - 2009/5

Y1 - 2009/5

N2 - Motivated by Berk and Green [Berk, J., & Green, R. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112, 1269-1295] and Chevalier and Ellison [Chevalier, J., & Ellison, G. (1999). Career concerns of mutual fund managers. Quarterly Journal of Economics, 114, 389-432] who show theoretically that performance persistence may be short-lived, we complement Bollen and Busse [Bollen, N., & Busse, J. A. (2004). Short-term persistence in mutual fund performance. Review of Financial Studies, 18, 569-597] and examine performance persistence in high-quality corporate-bond mutual funds over short horizons. Empirically, we find supporting evidence of performance persistence over shorter horizons. Our empirical tests also suggest that the performance persistence we document may be at least partly due to managerial skills.

AB - Motivated by Berk and Green [Berk, J., & Green, R. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112, 1269-1295] and Chevalier and Ellison [Chevalier, J., & Ellison, G. (1999). Career concerns of mutual fund managers. Quarterly Journal of Economics, 114, 389-432] who show theoretically that performance persistence may be short-lived, we complement Bollen and Busse [Bollen, N., & Busse, J. A. (2004). Short-term persistence in mutual fund performance. Review of Financial Studies, 18, 569-597] and examine performance persistence in high-quality corporate-bond mutual funds over short horizons. Empirically, we find supporting evidence of performance persistence over shorter horizons. Our empirical tests also suggest that the performance persistence we document may be at least partly due to managerial skills.

KW - Corporate bond

KW - Managerial skills

KW - Mutual fund performance

UR - http://www.scopus.com/inward/record.url?scp=64649094462&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=64649094462&partnerID=8YFLogxK

U2 - 10.1016/j.qref.2008.02.005

DO - 10.1016/j.qref.2008.02.005

M3 - Article

AN - SCOPUS:64649094462

VL - 49

SP - 378

EP - 397

JO - Quarterly Review of Economics and Finance

JF - Quarterly Review of Economics and Finance

SN - 1062-9769

IS - 2

ER -