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dc.contributor.advisorMaxwell, William F.en_US
dc.contributor.authorXu, Dan
dc.creatorXu, Danen_US
dc.date.accessioned2011-12-06T13:43:22Z
dc.date.available2011-12-06T13:43:22Z
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10150/195219
dc.description.abstractThis paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors.
dc.language.isoENen_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.titleWhat Explains Performance Persistence of Corporate Bond Mutual Funds?en_US
dc.typetexten_US
dc.typeElectronic Dissertationen_US
dc.contributor.chairMaxwell, William F.en_US
dc.identifier.oclc137353619en_US
thesis.degree.grantorUniversity of Arizonaen_US
thesis.degree.leveldoctoralen_US
dc.contributor.committeememberKahle, Kathleenen_US
dc.contributor.committeememberYao, Tongen_US
dc.contributor.committeememberOaxaca, Ronalden_US
dc.contributor.committeememberWooders, Johnen_US
dc.identifier.proquest1034en_US
thesis.degree.disciplineManagementen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.nameDMgten_US
refterms.dateFOA2018-08-25T06:27:26Z
html.description.abstractThis paper examines the performance of corporate bond mutual funds during the period from 1990 to 2003. We find strong evidence of persistence in risk-adjusted performance. The reason behind the persistent performance varies across fund types. For high-quality bond funds, the persistence is driven by time-varying factor loadings, where fund managers trade dynamically on the economic information, such as the term structure and macroeconomic factors. However, the persistence of high-yield bond funds cannot be explained by the fee structure, momentum, callability, non-synchronous trading or time-varying factor loadings. Further examination on the fund flows suggests that the existence of performance persistence is due to the fact that fund flows are not sensitive to the risk-adjusted fund performance, which is consistent with the theory suggested by Berk and Green (2004). Our results have further implications for corporate bond fund selection by investors.


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