False discoveries in UK mutual fund performance

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dc.contributor.author Cuthbertson, Keith
dc.contributor.author Nitzsche, Dirk
dc.contributor.author O'Sullivan, Niall
dc.date.accessioned 2013-11-26T13:03:51Z
dc.date.available 2013-11-26T13:03:51Z
dc.date.issued 2012-06
dc.identifier.citation CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2012. False Discoveries in UK Mutual Fund Performance. European Financial Management, 18, 444-463. doi: 10.1111/j.1468-036X.2009.00536.x en
dc.identifier.volume 18 en
dc.identifier.issued 3 en
dc.identifier.startpage 444 en
dc.identifier.endpage 463 en
dc.identifier.issn 1468-036X
dc.identifier.uri http://hdl.handle.net/10468/1267
dc.identifier.doi 10.1111/j.1468-036X.2009.00536.x
dc.description.abstract We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. Using all funds, we find a relatively high FDR for the best funds of 32.8% (at a 5% significance level), which implies that only around 3.7% of all funds truly outperform their benchmarks. For the worst funds the FDR is relatively small at 7.6% which results in 22% of funds which truly underperform their benchmarks. For different investment styles, this pattern of very few genuine winner funds is repeated for all companies, small companies and equity income funds. Forming portfolios of funds recursively for which the FDR is controlled at a ‘acceptable’ value, produces no performance persistence for positive alpha funds and weak evidence of persistence for negative alpha funds. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Blackwell Publishing Ltd en
dc.relation.uri http://onlinelibrary.wiley.com/doi/10.1111/j.1468-036X.2009.00536.x/full
dc.rights © 2010 Blackwell Publishing Ltd. This is the pre-peer reviewed version of the following article: CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2012. False Discoveries in UK Mutual Fund Performance. European Financial Management, 18, 444-463 which has been published in final form at http://dx.doi.org/10.1111/j.1468-036X.2009.00536.x en
dc.subject Mutual fund performance en
dc.subject False discovery rate en
dc.subject C15 en
dc.subject G11 en
dc.subject C14 en
dc.title False discoveries in UK mutual fund performance en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2013-05-28T15:04:45Z
dc.description.version Submitted Version en
dc.internal.rssid 19164013
dc.contributor.funder Irish Research Council for Humanities and Social Sciences en
dc.description.status Peer reviewed en
dc.identifier.journaltitle European Financial Management en
dc.internal.copyrightchecked No The version I am uploading is the pre-refereeing version. A subsequent version was published in European Financial Management. According to RoMEO the pre-refereeing version can be uploaded. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en

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