The truth about mutual funds across Europe
AbstractTraditional measures of mutual funds persistence are based on measures like Jensen's alpha, factor models and so on. As expected, their results on a broad data-set of European mutual funds show a small, but relevant, amount of persistent funds, depending on the method of estimation used. We go further in our analysis and, by using a multiple hypothesis testing methodology, find that those measures overstate the performance on the sample across countries, signalling persistence in situations where the positive results are due to luck.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 18 (2011)
Issue (Month): 7 ()
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