Time-varying performance in the cross-section of mutual fund returns

[摘要] This thesis examines the central question of whether actively managed mutual funds generate returns beyond those offered by passively managed funds. Using a non-parametric change point test and a cross-sectional bootstrap technique, this study conducts the first comprehensive examination of mutual fund performance that explicitly controls for possible time-variation in both alpha and betas of the extended versions of the CAPM, without imposing any specific functional form on the nature of the time-variation in these parameters. We further use an FDR technique that is able to quantify the number of skilled and unskilled managers. Our empirical analysis using these techniques reaches the following conclusions: first, after controlling for time-variation, there is more evidence of manager skill for both net and gross returns than previously documented in the literature (Chapter 4). Second, the estimated proportion of skilled funds in our sample is 8.4%, and 34.1% of the funds are identified as unskilled (Chapter 5). Third, different rules in selecting funds could lead to contradictory inferences on fund performance (Chapter 6).

[发布机构] University:University of Birmingham;Department:Birmingham Business School, Department of Economics

[关键词] H Social Sciences;HG Finance