Abstract

http://ssrn.com/abstract=855425
 
 

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Citations (137)



 


 



Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis


Robert Kosowski


Imperial College Business School; University of Oxford, Oxford-Man Institute of Quantitative Finance

Allan G. Timmermann


University of California, San Diego (UCSD) - Department of Economics; Centre for Economic Policy Research (CEPR)

Russ Wermers


University of Maryland - Robert H. Smith School of Business

Halbert L. White, Jr.


University of California, San Diego (UCSD) - Department of Economics

September 1, 2005


Abstract:     
We apply a new bootstrap statistical technique to examine the performance of the U.S. open-end, domestic-equity mutual fund industry over the 1975 to 2002 period. 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 pick stocks well enough to more than cover their costs; moreover, the superior alphas of these managers persist.

Number of Pages in PDF File: 56

Keywords: mutual funds, performance evaluation, bootstrap

JEL Classification: G11

working papers series


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Date posted: November 28, 2005 ; Last revised: October 17, 2013

Suggested Citation

Kosowski, Robert and Timmermann, Allan G. and Wermers, Russ and White, Jr., Halbert L., Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis (September 1, 2005). Available at SSRN: http://ssrn.com/abstract=855425 or http://dx.doi.org/10.2139/ssrn.414441

Contact Information

Robert Kosowski
Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London SW7 2AZ, DC SW7 2AZ
United Kingdom
+442075943294 (Phone)
HOME PAGE: http://www3.imperial.ac.uk/people/r.kosowski
University of Oxford, Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics ( email )
9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-4860 (Phone)
858-534-7040 (Fax)
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Russell R. Wermers (Contact Author)
University of Maryland - Robert H. Smith School of Business ( email )
Department of Finance
College Park, MD 20742-1815
United States
301-405-0572 (Phone)
301-405-0359 (Fax)
HOME PAGE: http://www.rhsmith.umd.edu/finance/rwermers/
Halbert L. White
University of California, San Diego (UCSD) - Department of Economics ( email )
9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)
HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/
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