Concepedia

Return Persistence

Return Persistence is a phenomenon in financial econometrics characterized by the tendency of asset returns to exhibit temporal autocorrelation, wherein periods of high (or low) returns are systematically followed by similar returns over subsequent time intervals.

468

Publications

73.6K

Citations

824

Authors

532

Institutions

Publications per year

2017–2026

92

Parents

Publications

468

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

, , +17

Illiquidity and stock returns: cross-section and time-series effects

Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text

, , +14

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

, , +16

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 3.1K citations

, , +17

Permanent and Temporary Components of Stock Prices

Eugene F. Fama, Kenneth R. French · Journal of Political Economy · 1988 · 3.1K citations

, , +17

1–5 of 468

Authors

824

  1. LA
    Luis A. Gil‐Alana

    Universidad de Navarra, Spain

    7 publications · 557 citations

    7

    h-index

  2. WE
    Wayne E. Ferson

    National Bureau of Economic Research, United States

    5 publications · 1.3K citations

    5

    h-index

  3. RA
    Richard A. Graff

    Development Fund, Norway

    4 publications · 147 citations

    4

    h-index

  4. GK
    Gregory Koutmos

    Fairfield University, United States

    4 publications · 251 citations

    4

    h-index

  5. CA
    Cornelis A. Los

    University of California, Irvine, United States

    4 publications · 157 citations

    4

    h-index

1–5 of 824

Institutions

532

  1. National Bureau of Economic Research

    Cambridge, United States

    13 h-index

    18 publications

    3.7K citations

  2. Universidad de Navarra

    Pamplona, Spain

    8 h-index

    8 publications

    581 citations

  3. New York University

    New York, United States

    7 h-index

    9 publications

    12.8K citations

  4. University of Pennsylvania

    Philadelphia, United States

    6 h-index

    5 publications

    1K citations

  5. Pennsylvania State University

    State College, United States

    6 h-index

    11 publications

    2.2K citations

  6. University of Washington

    Seattle, United States

    6 h-index

    13 publications

    3.4K citations

  7. University of Reading

    Reading, United Kingdom

    6 h-index

    7 publications

    205 citations

  8. Fairfield University

    Fairfield, United States

    5 h-index

    7 publications

    440 citations

1–8 of 532

Venues

  1. SSRN Electronic Journal

    Repository · 60 publications · 2.9K citations

    29

    h-index

  2. The Journal of Finance

    25 publications · 24.9K citations

    22

    h-index

  3. 16

    h-index

  4. Journal of Empirical Finance

    15 publications · 6K citations

    14

    h-index

  5. Journal of Banking & Finance

    13 publications · 1.5K citations

    12

    h-index

1–5