UK mutual fund performance: Skill or luck?

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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.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.volume 15 en
dc.identifier.issued 4 en
dc.identifier.startpage 613 en
dc.identifier.endpage 634 en
dc.identifier.uri http://hdl.handle.net/10468/1717
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.format.mimetype application/pdf 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
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 2013-05-28T15:13:37Z
dc.description.version Submitted Version en
dc.internal.rssid 19164057
dc.description.status Peer reviewed en
dc.identifier.journaltitle Journal of Empirical Finance en
dc.internal.copyrightchecked Yes This is a pre-refereeing version. According to RoMEO this can be uploaded. A subsequent version was accepted by the above journal. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en


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