Do Mutual Funds Deliver Alpha? A Bayesian and Bootstrap Analysis
We apply a new bootstrap statistical technique to distinguish between skill and Muck for individual funds. This methodology allows for non-normality in the idiosyncratic risk of the funds-a major issue when considering those funds which appear to be either very good or very bad performers, since these are the funds which investors are primarily interested in identifying. We find that the best funds performance cannot be explained by luck, there exists stock picking ability among a relatively small number of top performing mutual funds. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in mutual fund returns, lead to superior performance predictability.
Mutual fund Bootstrap Bayesian
XU Ning LIU Zhi-xin
School of Economics and Management Beihang University Beijing, China 1 School of Economics and Management Beihang University Beijing, China
国际会议
北京
英文
812-816
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）