Publications

BibTex format

@article{Kosowski:2006:10.1111/j.1540-6261.2006.01015.x,
author = {Kosowski, R and Timmermann, A and Wermers, R and White, H},
doi = {10.1111/j.1540-6261.2006.01015.x},
journal = {Journal of Finance},
pages = {2551--2595},
title = {Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis},
url = {http://dx.doi.org/10.1111/j.1540-6261.2006.01015.x},
volume = {61},
year = {2006}
}

Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Kosowski,R
AU  - Timmermann,A
AU  - Wermers,R
AU  - White,H
DO  - 10.1111/j.1540-6261.2006.01015.x
EP  - 2595
PY  - 2006///
SN  - 0022-1082
SP  - 2551
TI  - Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis
T2  - Journal of Finance
UR  - http://dx.doi.org/10.1111/j.1540-6261.2006.01015.x
VL  - 61
ER  -

Download

ProfessorRobertKosowski

Contact

Location

Summary

Citation

BibTex format

RIS format (EndNote, RefMan)