Starting on the Wrong Foot:Seasonality in Mutual Fund Performance

Brown, Stephen J. and Sotes-Paladino, Juan and Yao, Yaqiong and Wang, Jiaguo (2016) Starting on the Wrong Foot:Seasonality in Mutual Fund Performance. In: The 28th Asian FA Annual Meeting 2016, 2016-06-262016-06-28, Anantara Siam Bangkok Hotel.

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Abstract

We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.

Item Type: Contribution to Conference (Paper)
Journal or Publication Title: The 28th Asian FA Annual Meeting 2016
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 127748
Deposited By: ep_importer_pure
Deposited On: 25 Sep 2018 13:24
Refereed?: Yes
Published?: Published
Last Modified: 19 Jan 2020 06:54
URI: https://eprints.lancs.ac.uk/id/eprint/127748

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