Estimation of skill of Russian mutual fund managers

Our work is focused on Russian mutual funds managers’ skills versus luck estimating. Using bootstrap procedure we build Jensen’s alpha density for each fund. We find that only 5% of Russian equity mutual funds do have skills (in contrast to luck) to outperform the benchmark.

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Year of publication:	2015
Authors:	Parshakov, Petr
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 37.2015, 1, p. 57-66
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	picking \| skill \| mutual fund

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; G23 - Pension Funds; Other Private Financial Institutions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011186456