IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/46896.html
   My bibliography  Save this paper

The performance of mutual funds on French stock market:Do star funds’ managers exist or do funds have to hire chimpanzees?

Author

Listed:
  • Blanchard, Michel
  • Bernard, philippe

Abstract

We test here the kahneman (kahneman 2011) results about fund managers: that is, do managers are really skilled or could any chimpanzee do the job? Moreover, the recent stormy period should enlighten us about the interest to invest in mutual funds: do they over perform the market? Do they smooth the losses? Do they have well managed the alternative bearish and bullish periods of the markets? Few recent studies focus on the French Stock market. In this paper, we investigate the performance, persistence and behavior of mutual funds only investing in the Paris stock exchange market from 2000 to 2012. We find that funds clearly over-perform the market on average but only on a 60 months investment horizon. Average annual excess is close to zero (+0.3%) for funds which were active over all the period. Yet, some have salient good (bad) relative performances. The challenge is then to distinguish skill from luck since funds can have extreme returns by luck. Our approach is to test for persistence in fund returns, that is, whether past winners continue to produce high returns and losers continue to underperform. Then, we apply the Carhart 1997 4-factors model, in order to evaluate the weight of the systematic drivers of the performance.

Suggested Citation

  • Blanchard, Michel & Bernard, philippe, 2013. "The performance of mutual funds on French stock market:Do star funds’ managers exist or do funds have to hire chimpanzees?," MPRA Paper 46896, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:46896
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/46896/1/MPRA_paper_46892.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    2. Roger Otten & Dennis Bams, 2002. "European Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 8(1), pages 75-101.
    3. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    4. Eugene F. Fama & Kenneth R. French, 2010. "Luck versus Skill in the Cross-Section of Mutual Fund Returns," Journal of Finance, American Finance Association, vol. 65(5), pages 1915-1947, October.
    5. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Mutual funds performances; overperformance; fund managers skills;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:46896. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter) or (Rebekah McClure). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.