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Article Dans Une Revue Economics Bulletin Année : 2014

European equity fund managers: Luck or skill?!

Résumé

Seeking persistent abnormal portfolio performance has been a key question for academics and practitioners. The main challenge in the construction of fund-of-funds is the ex-ante selection of "skilled" managers, ex-post outperforming the benchmark. This empirical study focused on European mutual funds, consists in using the False Discovery Rate selecting procedure. The standard tests to identify funds with non-zero alphas do not adequately account for the presence of "luck", while this becomes an important issue when one deals with multiple testing. Different pricing models are used and the performance of constructed fund-of-funds is analyzed in-sample and out-of-sample for different investment strategies.
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Dates et versions

hal-02877967 , version 1 (22-06-2020)

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  • HAL Id : hal-02877967 , version 1

Citer

E. Kurtbegu, J. Caicedo-Llano. European equity fund managers: Luck or skill?!. Economics Bulletin, 2014, 34, pp.2340--2350. ⟨hal-02877967⟩

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