An evaluation on the true statistical relevance of Jensen's alpha trough simulation: An application for Germany

Jorge Sainz (), Pilar Grau, Luis Doncel Pedrera () and Javier Otamendi ()
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Javier Otamendi: URJC

Economics Bulletin, 2008, vol. 7, issue 10, 1-9

Abstract: Mutual fund managers' ability to generate continuous positive value in excess to a relevant benchmark index is a crucial aspect for its evaluation. Focusing on the German market, in this research we apply several simulation methods that avoid statistical problems related to multiple hypothesis testing in traditional financial techniques. By doing so we obtain a threshold value that delimits what is considered the true null hypothesis. Our main result is that managers'' action are of little significance with only a small part of them adding excess value to mutual funds they run.

JEL-codes: C0 G2 (search for similar items in EconPapers)
Date: 2008-07-23
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Citations: View citations in EconPapers (1)

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