Home > Research > Publications & Outputs > Starting on the Wrong Foot

Electronic data

  • 1-s2.0-S0378426617301231-main

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 82, 2017 DOI: 10.1016/j.jbankfin.2017.05.013

    Accepted author manuscript, 1.79 MB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

Links

Text available via DOI:

View graph of relations

Starting on the Wrong Foot: Seasonality in Mutual Fund Performance

Research output: Contribution to journalJournal article

Published

Standard

Starting on the Wrong Foot : Seasonality in Mutual Fund Performance. / Brown, Stephen J.; Sotes-Paladino, Juan; Wang, Jiaguo ; Yao, Yaqiong.

In: Journal of Banking and Finance, Vol. 82, 09.2017, p. 133-150.

Research output: Contribution to journalJournal article

Harvard

Brown, SJ, Sotes-Paladino, J, Wang, J & Yao, Y 2017, 'Starting on the Wrong Foot: Seasonality in Mutual Fund Performance', Journal of Banking and Finance, vol. 82, pp. 133-150. https://doi.org/10.1016/j.jbankfin.2017.05.013

APA

Vancouver

Author

Brown, Stephen J. ; Sotes-Paladino, Juan ; Wang, Jiaguo ; Yao, Yaqiong. / Starting on the Wrong Foot : Seasonality in Mutual Fund Performance. In: Journal of Banking and Finance. 2017 ; Vol. 82. pp. 133-150.

Bibtex

@article{f45c48b762614e459e01c7e90a2686ae,
title = "Starting on the Wrong Foot: Seasonality in Mutual Fund Performance",
abstract = "We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes and investment styles. The pattern is consistent with short-term stock return reversal effects along with aggregate window-dressing and, to a lesser extent, NAV-inflation practices around quarter-ends. We find marginal or no evidence of microstructure biases, fund investor flows, or cash distributions as sources of this seasonality. Our findings highlight new features of the active management underperformance puzzle.",
keywords = "Mutual funds, Performance evaluation, Seasonality, Benchmark index",
author = "Brown, {Stephen J.} and Juan Sotes-Paladino and Jiaguo Wang and Yaqiong Yao",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 82, 2017 DOI: 10.1016/j.jbankfin.2017.05.013",
year = "2017",
month = sep
doi = "10.1016/j.jbankfin.2017.05.013",
language = "English",
volume = "82",
pages = "133--150",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Starting on the Wrong Foot

T2 - Seasonality in Mutual Fund Performance

AU - Brown, Stephen J.

AU - Sotes-Paladino, Juan

AU - Wang, Jiaguo

AU - Yao, Yaqiong

N1 - This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 82, 2017 DOI: 10.1016/j.jbankfin.2017.05.013

PY - 2017/9

Y1 - 2017/9

N2 - We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes and investment styles. The pattern is consistent with short-term stock return reversal effects along with aggregate window-dressing and, to a lesser extent, NAV-inflation practices around quarter-ends. We find marginal or no evidence of microstructure biases, fund investor flows, or cash distributions as sources of this seasonality. Our findings highlight new features of the active management underperformance puzzle.

AB - We document a systematic seasonal component in the aggregate underperformance of active mutual funds. At the aggregate level, active funds underperform the market and other passive benchmarks only in the first month of a quarter. This intra-quarter performance seasonality holds across fund sizes and investment styles. The pattern is consistent with short-term stock return reversal effects along with aggregate window-dressing and, to a lesser extent, NAV-inflation practices around quarter-ends. We find marginal or no evidence of microstructure biases, fund investor flows, or cash distributions as sources of this seasonality. Our findings highlight new features of the active management underperformance puzzle.

KW - Mutual funds

KW - Performance evaluation

KW - Seasonality

KW - Benchmark index

U2 - 10.1016/j.jbankfin.2017.05.013

DO - 10.1016/j.jbankfin.2017.05.013

M3 - Journal article

VL - 82

SP - 133

EP - 150

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

ER -