Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis
Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis
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DOI：
10.1111/j.1540-6261.2006.01015.x
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发表时间：
2006-12-01
影响因子：
8
通讯作者：
White, Hal
中科院分区：
文献类型：
--
作者：
Kosowski, Robert;Timmermann, Allan;White, Hal
我们应用一种新的Bootstrap统计技术来检验美国的表现。1975年至2002年期间的开放式国内股票型共同基金行业。Bootstrap方法是必要的，因为共同基金α的横截面具有复杂的非正态分布，这是由于基金承担风险的异质性以及单个基金α分布的非正态。我们的自举方法揭示了与过去许多研究不同的发现。具体地说，我们发现，相当多的少数经理人挑选股票的能力足以弥补他们的成本。此外，这些经理人的高高在上的资历依然存在。
We apply a new bootstrap statistical technique to examine the performance of the US. open-end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk-taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers 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.