EconPapers    
Economics at your fingertips  
 

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

Robert Kosowski, Allan Timmermann (), Russ Wermers and Halbert White

Journal of Finance, 2006, vol. 61, issue 6, 2551-2595

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. 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.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (178) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1540-6261.2006.01015.x

Related works:
Working Paper: Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis (2005) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:61:y:2006:i:6:p:2551-2595

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-12-09
Handle: RePEc:bla:jfinan:v:61:y:2006:i:6:p:2551-2595