Time-Changing Alpha? The Case of Australian International Mutual Funds

Richard Heaney, Terry Hallahan, Thomas Josev and Heather Mitchell
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Richard Heaney: School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.
Terry Hallahan: School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.
Thomas Josev: School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.
Heather Mitchell: School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.

Australian Journal of Management, 2007, vol. 32, issue 1, 95-112

Abstract: Tests for active management inevitably focus on long periods. Yet, implicit in these tests is the assumption that active management generates a stable excess return. We argue that this assumption is not appropriate for active management where the emphasis is on identifying profitable trading strategies. Consistent with this conjecture, we find evidence of time-changing alpha using a sample of Australian international funds over the period from July 1995 to January 2005. Regardless, few international funds show consistent positive excess returns over the period.

Keywords: INTERNATIONAL EQUITY FUNDS; TIME-CHANGING ALPHA (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:32:y:2007:i:1:p:95-112

DOI: 10.1177/031289620703200106

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