Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model

Mamatzakis, Emmanuel and Tsionas, M.G. (2021) Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model. Annals of Operations Research 299 , pp. 1203-1233. ISSN 0254-5330.

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Official URL: https://doi.org/10.1007/s10479-020-03691-9

Abstract

We provide a Bayesian panel model to consider persistence in US funds’ performance while we tackle the important problem of errors in variables. Our modelling departs from prior strong assumptions such as error terms across funds being independent. In fact, we provide a novel, general Bayesian model for (dynamic) panel data that is stable across different priors as reported from the mapping of the prior to the posterior of the Bayesian baseline model with the adoption of different priors. We demonstrate that our model detects previously undocumented striking variability in terms of performance and persistence across funds categories and over time, and in particular through the financial crisis. The reported stochastic volatility exhibits a rising trend as early as 2003-2004 and could act as an early warning of future crisis.

Metadata

Item Type:	Article
Additional Information:	The final publication is available at Springer via the link above.
Keyword(s) / Subject(s):	US mutual fund performance, Bayesian panel model time-varying stochastic heteroskedasticity, Time-varying covariance
School:	School of Business, Economics & Informatics > Management
Research Centres and Institutes:	Accounting and Finance Research Centre
Depositing User:	Emmanuel Mamatzakis
Date Deposited:	07 Jul 2020 12:34
Last Modified:	15 Apr 2021 01:09
URI:	https://eprints.bbk.ac.uk/id/eprint/32474

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