The impact of the Eurozone sovereign debt crisis on bond fund performance persistence: Evidence from a small market. (28th October 2016)

• Record Type: Journal Article
• Authors: Leite, Paulo; Faria, Orlando; Armada, Manuel Rocha
• Is Part Of: Investment analysts journal. Volume 45(2016)Supplement 1
• Page Start: S32
• Page End: S45
• Publication Date: 2016-10-28
• Subjects: Bond funds -- fund performance evaluation -- performance persistence -- market crises; G01 -- G11 -- G14; Investment analysis -- Periodicals; Investments -- Africa, Southern -- Periodicals; Finance -- Periodicals; Finance; Investment analysis; Investments; Africa, Southern; Periodicals; 332.605
• DOI: 10.1080/10293523.2016.1195033
• Languages: English
• ISSNs: 2077-0227

Abstract

ABSTRACT: We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001–2012 period. Besides avoiding data mining, we also introduce a methodological innovation in assessing bond fund performance persistence. Our results show that bond funds underperform significantly both during crisis and non-crisis periods. Besides, we find strong evidence of performance persistence, for both short- and longer-term horizons, during non-crisis periods but not during the debt crisis. In this way, the persistence phenomenon in small markets seems to occur only during non-crisis periods and this is valuable information for bond fund investors to exploit.