Can Mutual Fund Stars Really Pick Stocks ? New Evidence From A Bootstrap Analysis  

Oleh:

Kosowski, Robert ; Timmermann, Allan ; Wermers, Russ ; White, Hal

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 6 (Des. 2006), page 2551-2596.
Topik: EVIDENCE; studies; mutual funds; investment policy; bootstrap method; investment advisors
Fulltext: p 2551.pdf (456.76KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We apply a new bootstrap statistical technique to examine the performance of the US open end, domestic equity mutual and industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a compelx nonnormal distribution due to heterogenous risk taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies. Specifically, we find that a sizable minority of managers pick stocks well enough to more than cover their costs. Moreover, the superior alphas of these managers persist.

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