Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis

• 成果类型: Article
• 署名作者: Kosowski, Robert; Timmermann, Allan; Wermers, Russ; White, Hal
• 署名单位: Imperial College London; University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.01015.x
• 发表日期: 2006
• 页码: 2551-2595
• 关键词: performance; persistence; returns

摘要

We apply a new bootstrap statistical technique to examine the performance of the US. 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.