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Are There Hot Hands Among Mutual Fund Houses in Hong Kong?
Author(s) -
Cheng Louis T.,
Pi Lynn K.,
Wort Don
Publication year - 1999
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00250
Subject(s) - mutual fund , equity (law) , econometrics , economics , finance , business , political science , law
This paper examines the short‐term performance persistence of thirty‐two fund houses in Hong Kong during January 1986 to December 1995. We compute fund house returns using averages of all equity funds in each house. Then we evaluate their hot hand performance using the median return as benchmark on a rolling monthly basis. The results show that there were only two ‘hot hand’ fund houses. Findings using annual returns confirm the non‐existence of a hot hand phenomenon. However, we find a strong correlation between conditional and unconditional probabilities of winning repeatedly in consecutive months