A Comparison of Short Term Persistence of Mutual Fund Performance in Europe
The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In this article, we examine the short term persistence in mutual fund performance in Europe between 1990 and 2015. Using a sample of daily survivorship bias free data on the five most important European mutual fund countries, we find statistically significant persistence in the post ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top decile and bottom decile mutual funds.