期刊名称：International Journal for Research in Vocational Education and Training (IJRVET)
印刷版ISSN：2197-8646
出版年度：2015
卷号：7
期号：1
出版社：European Research Network in Vocational Education and Training (VETNET), European Educational Research Association
摘要：Performance persistence in the US mutual fund market is investigated, modeling risk-adjusted performance as a Markov Chain. This allows us to explore whether there is a higher probability for funds to remain in their initial ranking, compared to the probability that funds exhibit some kind of movement. We find some degree of inertia due to non-uniformity of transition probabilities across states. Our analysis allows also assesses the proximity of empirical transition matrices to two benchmark matrices, identifying the no-persistence/perfect immobility cases. We find that the observed transition matrices are closer to the no-persistence benchmark and also that performance persistence has decreased over time.
