UK mutual fund performance: Skill or luck?
| dc.contributor.author | Cuthbertson, Keith | |
| dc.contributor.author | Nitzsche, Dirk | |
| dc.contributor.author | O'Sullivan, Niall | |
| dc.date.accessioned | 2014-11-27T13:00:58Z | |
| dc.date.available | 2014-11-27T13:00:58Z | |
| dc.date.issued | 2008-06 | |
| dc.date.updated | 2013-05-28T15:13:37Z | |
| dc.description.abstract | Using a comprehensive data set on (surviving and non-surviving) UK equity mutual funds, we use a cross-section bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. This methodology allows for non-normality in the idiosyncratic risk of the funds — a major issue when considering those funds which appear to be either very good or very bad performers, since these are the funds which investors are primarily interested in identifying. Our study points to the existence of stock picking ability among a relatively small number of top performing UK equity mutual funds (i.e. performance which is not solely due to good luck). At the negative end of the performance scale, our analysis strongly rejects the hypothesis that most poor performing funds are merely unlucky. Most of these funds demonstrate ‘bad skill’. Recursive estimation and Kalman ‘smoothed’ coefficients indicate temporal stability in the ex-post performance alpha's of winner and loser portfolios. We also find performance persistence amongst loser but not amongst winner funds. | en |
| dc.description.sponsorship | University College Cork. (Arts Faculty Research Fund) | en |
| dc.description.status | Peer reviewed | en |
| dc.description.version | Submitted Version | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2008. UK mutual fund performance: Skill or luck? Journal of Empirical Finance, 15, 613-634. http://dx.doi.org/10.1016/j.jempfin.2007.09.005 | en |
| dc.identifier.endpage | 634 | en |
| dc.identifier.issued | 4 | en |
| dc.identifier.journaltitle | Journal of Empirical Finance | en |
| dc.identifier.startpage | 613 | en |
| dc.identifier.uri | https://hdl.handle.net/10468/1717 | |
| dc.identifier.volume | 15 | en |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | en |
| dc.relation.uri | http://www.sciencedirect.com/science/article/pii/S092753980700103X | |
| dc.rights | Crown copyright © 2007 Published by Elsevier B.V. All rights reserved. | en |
| dc.subject | Mutual fund performance | en |
| dc.subject | Bootstrapping | en |
| dc.subject | Fama–French model | en |
| dc.title | UK mutual fund performance: Skill or luck? | en |
| dc.type | Article (peer-reviewed) | en |
