Mutual fund performance: false discoveries, bias, and power
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 7 (2011)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=112370
Mutual fund; Performance evaluation; False discovery; Multiple inference; Statistical power; C10; G10; G20;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Manuel Ammann & Michael Verhofen, 2009. "The impact of prior performance on the risk-taking of mutual fund managers," Annals of Finance, Springer, vol. 5(1), pages 69-90, January.
- Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2007. "Improved Forecasting of Mutual Fund Alphas and Betas," Review of Finance, European Finance Association, vol. 11(3), pages 359-400.
- Christopher S. Jones & Jay Shanken, 2002.
"Mutual Fund Performance with Learning Across Funds,"
NBER Working Papers
9392, National Bureau of Economic Research, Inc.
- Jones, Christopher S. & Shanken, Jay, 2005. "Mutual fund performance with learning across funds," Journal of Financial Economics, Elsevier, vol. 78(3), pages 507-552, December.
- Joseph P. Romano & Michael Wolf, 2003.
"Stepwise Multiple Testing as Formalized Data Snooping,"
17, Barcelona Graduate School of Economics.
- Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, 07.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
- Yoav Benjamini & Abba M. Krieger & Daniel Yekutieli, 2006. "Adaptive linear step-up procedures that control the false discovery rate," Biometrika, Biometrika Trust, vol. 93(3), pages 491-507, September.
- Efron B. & Tibshirani R. & Storey J.D. & Tusher V., 2001. "Empirical Bayes Analysis of a Microarray Experiment," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1151-1160, December.
- Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005.
"False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,"
Working Papers CEB
05-014.RS, ULB -- Universite Libre de Bruxelles.
- Laurent Barras & Olivier Scaillet & Russ Wermers, 2010. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, 02.
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
- Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009. "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers 06-02, University of Cologne, Centre for Financial Research (CFR).
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Swiss Finance Institute Research Paper Series 08-18, Swiss Finance Institute, revised Sep 2008.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008.
"Control of the false discovery rate under dependence using the bootstrap and subsampling,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research,
Springer, vol. 17(3), pages 417-442, November.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers 337, Institute for Empirical Research in Economics - University of Zurich.
- Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
- Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005.
"Formalized Data Snooping Based on Generalized Error Rates,"
IEW - Working Papers
259, Institute for Empirical Research in Economics - University of Zurich.
- Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(02), pages 404-447, April.
- John D. Storey, 2002. "A direct approach to false discovery rates," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 479-498.
- Jorge Sainz & Pilar Grau & Luis Miguel Doncel & Javier Otamendi, 2008. "An evaluation on the true statistical relevance of Jensen's alpha trough simulation: An application for Germany," Economics Bulletin, AccessEcon, vol. 7(10), pages 1-9.
- repec:ebl:ecbull:v:7:y:2008:i:10:p:1-9 is not listed on IDEAS
- Efron, Bradley, 2007. "Correlation and Large-Scale Simultaneous Significance Testing," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 93-103, March.
- Bradford Cornell & Jakša Cvitanić & Levon Goukasian, 2010. "Beliefs regarding fundamental value and optimal investing," Annals of Finance, Springer, vol. 6(1), pages 83-105, January.
- Chen, Hsiu-Lang & Jegadeesh, Narasimhan & Wermers, Russ, 2000. "The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 343-368, September.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- Danny Yeung, 2012. "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 11.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.