Mutual Funds’ Cost Persistence

Performance Persistence in Mutual Funds:

* The authors thank Russ Wermers for conversations related to performance persistence. The authors will not enter into any correspondence with members of the public concerning this report.

ESG-persistence in Socially Responsible Mutual Funds

This paper analyzes the persistence of environmental, social, and governance (ESG)-scores in socially responsible (SR) mutual funds. ESG-scores can be used as a measure for the level of social responsibility of an SR mutual fund. It is shown that ESG-scores persist for approximately two years. However, the persistence of the ESG-scores is terminated after approximately three years. This implies...

On Performance and Persistence of Mutual Funds in China By

Persistence and Fund Flows of the Worst Performing Mutual Funds

We document that the observed persistence amongst the worst performing actively managed mutual funds is attributable to funds that have performed poorly both in the current and prior year. Consistent with the Berk and Green (2004) model, we demonstrate that this persistence results from an unwillingness of investors in these funds to respond to bad performance by withdrawing their capital. In c...

Mutual Funds in Equilibrium∗

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...