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http://hdl.handle.net/10419/57722
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| Title: | | Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis  |
| Authors: | | Kosowski, Robert Timmermann, Allan Wermers, Russ White, Hal |
| Issue Date: | | 2005 |
| Series/Report no.: | | CFR Working Paper 05-14 |
| Abstract: | | We apply a new bootstrap statistical technique to examine the performance of the U.S. openend, domestic-equity mutual fund industry over the 1975 to 2002 period. Specifically, we bootstrap the joint distribution of performance measures (\alphas) across all funds to determine whether managers of high-alpha funds are simply the luckiest in a large field of managers, or whether they possess genuine stockpicking skills. This bootstrap approach is necessary because the cross-section of mutual fund alphas has a complex, non-normal distribution{due to heterogeneous risk-taking by funds as well as non-normalities in individual fund alpha distributions. Our bootstrap approach reveals findings that differ from many past studies. Specifically, we find that a sizable minority of managers really do pick stocks well enough to more than cover their costs. Moreover, our bootstrap indicates that the superior alphas of these managers persist. |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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