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Cited by 940

The DOI matches its Crossref record; 13 of the 13 references it cites were found in a registry or an index.

Performance Persistence

BROWN, STEPHEN J., GOETZMANN, WILLIAM N.·1995·The Journal of Finance
DOI 10.1111/j.1540-6261.1995.tb04800.x
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Abstract

We explore performance persistence in mutual funds using absolute and relative benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk‐adjusted performance of mutual funds persists; however, persistence is mostly due to funds that lag the S&P 500. A probit analysis indicates that poor performance increases the probability of disappearance. A year‐by‐year decomposition of the persistence effect demonstrates that the relative performance pattern depends upon the time period observed, and it is correlated across managers. Consequently, it is due to a common strategy that is not captured by standard stylistic categories or risk adjustment procedures.

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Metadata

Authors
BROWN, S. J., & GOETZMANN, W. N.
Venue
The Journal of Finance
Publisher
Wiley
Published
1995-06
Volume
50
Issue
2
Pages
679-698
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1995.tb04800.x
OpenAlex
W4248290786
Cited by
940
References
13
FWCI
26.84
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Performance Persistence. https://app.cochat.ai/papers/10.1111/j.1540-6261.1995.tb04800.x
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BROWN, S. J., & GOETZMANN, W. N. (1995). Performance Persistence. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb04800.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.