Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India

In this paper, we examine the persistence of large-cap equity mutual funds performance, market timing skills, and selectivity of fund managers in India. The study uses monthly data of net assets values (NAV), market capitalization, and price to book ratio. The sample data period is from January 2000 to December 2019. We employ the methodology of Jensen (1968), Fama-French (1993), and Carhart (1997) models for forming portfolios and mimicking portfolios. The results reveal that the benchmark market index outperforms mutual funds. Moreover, there is a little evidence showing that Indian fund managers who consistently work on large-cap equity funds can generate abnormal returns.