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Time-Changing Alpha? The Case of Australian International Mutual Funds

Author

Listed:
  • Richard Heaney

    (School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.)

  • Terry Hallahan

    (School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.)

  • Thomas Josev

    (School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.)

  • Heather Mitchell

    (School of Economics, Finance and Marketing, RMIT University, level 12, 239 Bourke Street, Melbourne, VIC 3000.)

Abstract

Tests for active management inevitably focus on long periods. Yet, implicit in these tests is the assumption that active management generates a stable excess return. We argue that this assumption is not appropriate for active management where the emphasis is on identifying profitable trading strategies. Consistent with this conjecture, we find evidence of time-changing alpha using a sample of Australian international funds over the period from July 1995 to January 2005. Regardless, few international funds show consistent positive excess returns over the period.

Suggested Citation

  • Richard Heaney & Terry Hallahan & Thomas Josev & Heather Mitchell, 2007. "Time-Changing Alpha? The Case of Australian International Mutual Funds," Australian Journal of Management, Australian School of Business, vol. 32(1), pages 95-112, June.
    • Handle: RePEc:sae:ausman:v:32:y:2007:i:1:p:95-112
    DOI: 10.1177/031289620703200106
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    References listed on IDEAS

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    Cited by:

    1. Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 244-256.
    2. David R Gallagher & Peter A Gardner & Camille H Schmidt & Terry S Walter, 2014. "Quality investing in an Australian context," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 615-643, November.

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