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Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? : a reply
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2019 - This version: October 24, 2019
relative to AP. Over the updated period (1975-2018), we further show that the performance of the FDR improves dramatically …
Persistent link: https://www.econbiz.de/10012134772
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Luck versus skill in the cross section of mutual fund alpha estimates
Fama, Eugene F.; French, Kenneth Ronald - 2009 - Rev.
Persistent link: https://www.econbiz.de/10003842369
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Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - 2014
Persistent link: https://www.econbiz.de/10010362860
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New evidence on mutual fund performance : a comparison of alternative bootstrap methods
Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - 2014
Persistent link: https://www.econbiz.de/10010362861
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Style consistency and mutual fund returns : the case of Russia
Bayarmaa, Adiya; Caporale, Guglielmo Maria - 2019
Persistent link: https://www.econbiz.de/10011996353
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Style consistency and mutual fund returns : the case of Russia
Bayarmaa, Adiya; Caporale, Guglielmo Maria - 2019
This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers' Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the Style...
Persistent link: https://www.econbiz.de/10011996985
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Measuring alpha in the fund management industry : do female managers perform better?
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2013
This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences …. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently … with previous studies, no significant differences in performance and risk are found between female and male managed funds …
Persistent link: https://www.econbiz.de/10009752997
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Does herding behavior reveal skill? : an analysis of mutual fund performance
Jiang, Hao; Verardo, Michela - 2013
Persistent link: https://www.econbiz.de/10009753076
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The performance of private equity funds : does diversification matter?
Lossen, Ulrich - 2006
This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds …. Diversification across countries has no systematic effect on the performance of private equity funds. …
Persistent link: https://www.econbiz.de/10010383033
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Unwanted Attention? Negativity Bias in Mutual Fund Awards
Parwada, Jerry T.; Tan, Eric K. M. - 2023
strong past performance, this runner-up effect is explained by a negativity bias in investors that contradicts the …
Persistent link: https://www.econbiz.de/10014253965