Control of luck in measuring investment fund performance

Asia-Pacific Journal of Financial Studies

Volumn 40, Issue 3, 2011, Pages 467-493

  Suh, Sangwon ^a   Hong, Kyttack ^a  

^a Chung Ang University   (South Korea)

Author keywords

False discovery rate approach; Fund fees; Fund performance measurement; Performance persistence

Indexed keywords

EID: 84855251801     PISSN: 12261165     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.2041-6156.2011.01046.x     Document Type: Article

References (28)

1. Avramov, D., and R. Wermers, 2006, Investing in mutual funds when returns are predictable, Journal of Financial Economics 81, pp. 339-377. (Pubitemid 44057761)
2. Baks, K. P., A. Merick, and J. Watcher, 2001, Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation, Journal of Finance 56, pp. 45-85. (Pubitemid 33581653)
3. Barber, B. M., Y.-T. Lee, Y.-J. Liu, and T. Odean, 2009, Just how much do individual investors lose by trading? Review of Financial Studies 22, pp. 609-632.
4. Barras, L., O. Scaillet, and R. Wermers, 2010, False discoveries in mutual fund performance: Measuring luck in estimated alphas, Journal of Finance 65, pp. 179-216.
5. Berk, J. B., and R. C. Green, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy 112, pp. 1269-1295. (Pubitemid 40106863)
6. Carhart, M. M., 1997, On persistence in mutual fund performance, Journal of Finance 52, pp. 57-82.
7. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring mutual fund performance with characteristic based benchmarks, Journal of Finance 52, pp. 1035-1058.
8. Elton, E. J., M. J. Gruber, S. Das, and M. Hlavka, 1993, Efficiency with costly information: A reinterpretation of evidence form managed portfolios, Review of Financial Studies 6, pp. 1-22.
9. Fama, E. F., and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, pp. 3-56.
10. Fama, E. F., and K. R. French, 2010, Luck versus skill in the cross-section of mutual fund returns, Journal of Finance 65, pp. 1915-1947.
11. Ferson, W. E., and M. Qian, 2004, Conditional performance evaluation, revisited (The Research of Foundation of CFA Institute, Charlottesville, Virginia).
12. Ferson, W. E., and R. W. Schadt, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance 51, pp. 425-461. (Pubitemid 126313376)
13. Genovese, C., and L. Wasserman, 2004, A stochastic process approach to false discovery control, Annals of Statistics 32, pp. 1035-1061. (Pubitemid 41250292)
14. Grinblatt, M., and S. Titman, 1989, Mutual fund performance: An analysis of quarterly portfolio holdings, Journal of Business 62, pp. 393-416.
15. Jensen, M. C., 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, pp. 389-416.
16. Kang, J., and C. Lee, 2010, Investment styles and performance persistence of equity funds in Korea using Sharpe's style analysis (in Korean), Korean Journal of Financial Studies 39, pp. 307-339.
17. Ko, K.-S., Y. Wang, Y.-J. Ha, and M.-Y. Paek, 2010, Performance persistence of Korean equity funds: Stock selection and market timing abilities (in Korean), Journal of Business Research 25, pp. 227-246.
18. Kosowski, R., A. Timmermann, R. Wermers, and H. White, 2006, Can mutual "stars" really pick stocks? New evidence from a bootstrap analysis, Journal of Finance 61, pp. 2551-2595.
19. Lee, W. H., H. D. Lee, and S. S. Park, 2000, Fund style analysis and benchmark-free ability tests of Korean stock funds (in Korean), Asia-Pacific Journal of Financial Studies 28, pp. 65-90.
20. Min, S.-K., 2007, The performance persistence of mutual funds in Korea (in Korean), DAEHAN Journal of Business 20, pp. 1413-1431.
21. Newey, W. K., and K. D. West, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, pp. 703-708.
22. Park, Y. K., and U. Chang, 2001, The performance measurement and attribute analysis on equity style funds (in Korean), Asia-Pacific Journal of Financial Studies 29, pp. 117-143.
23. Pástor, L., and R. F. Stambaugh, 2002, Investing in equity mutual funds, Journal of Financial Economics 63, pp. 351-380.
24. Sharpe, W. F., 1992, Asset allocation: Management style and performance measurement, Journal of Portfolio Management 18, pp. 7-19.
25. Sin, S. H., 2003, A study on outsourcing in Korean stock and bond fund markets (in Korean), Asia-Pacific Journal of Financial Studies 32, pp. 165-190.
26. Sohn, P., S. Kim, and J. Shin, 2011, Security concentration and fund performance, Asia-Pacific Journal of Financial Studies 40, pp. 109-137.
27. Storey, J. D., 2002, A direct approach to false discovery rates, Journal of the Royal Statistical Society 64, pp. 479-498.
28. Suh, B.-D., D.-H. Hong, and M.-Y. Lee, 2008, A study on the relationship of fund size and performance: Does there exist an optimal fund size? (in Korean), DAEHAN Journal of Business 21, pp. 323-345.