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UK mutual fund performance: Skill or luck?

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Cited by:

  1. Enareta Kurtbegu & Juliana Caicedo-llano, 2014. "European equity fund managers: luck or skill?!," Economics Bulletin, AccessEcon, vol. 34(4), pages 2340-2350.
  2. Antonello D’Agostino & Kieran Mcquinn & Karl Whelan, 2012. "Are Some Forecasters Really Better Than Others?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 715-732, June.
  3. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
  4. Keith Cuthbertson & Dirk Nitzsche & Niall O’Sullivan, 2023. "UK mutual funds: performance persistence and portfolio size," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 284-298, July.
  5. Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
  6. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
  7. Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
  8. Huang, Rong & Asteriou, Dimitrios & Pouliot, William, 2020. "A reappraisal of luck versus skill in the cross-section of mutual fund returns," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 166-187.
  9. 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.
  10. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
  11. Matthew Oldham, 2019. "Understanding How Short-Termism and a Dynamic Investor Network Affects Investor Returns: An Agent-Based Perspective," Complexity, Hindawi, vol. 2019, pages 1-21, July.
  12. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(1), March.
  13. Anastasia Petraki & Anna Zalewska, 2017. "Jumping over a low hurdle: personal pension fund performance," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 153-190, January.
  14. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
  15. Lamb, John D. & Tee, Kai-Hong, 2012. "Resampling DEA estimates of investment fund performance," European Journal of Operational Research, Elsevier, vol. 223(3), pages 834-841.
  16. Dimitrios Koutmos & Bochen Wu & Qi Zhang, 2020. "In search of winning mutual funds in the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 589-616, February.
  17. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
  18. Chen Su & Hanxiong Zhang & Nathan Lael Joseph, 2022. "The performance of UK stock recommendation revisions: Does brokerage house reputation matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3051-3070, July.
  19. Petr Parshakov, 2014. "Russian Mutual Funds: Skill vs. Luck," HSE Working papers WP BRP 40/FE/2014, National Research University Higher School of Economics.
  20. Qiang Bu, 2018. "Long-term negative fund alpha: Is it caused by bad skill or bad luck?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(1), pages 1-16, February.
  21. Golam Sarwar & Cesario Mateus & Natasa Todorovic, 2018. "US sector rotation with five-factor Fama–French alphas," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 116-132, March.
  22. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2022. "Mutual fund performance persistence: Factor models and portfolio size," International Review of Financial Analysis, Elsevier, vol. 81(C).
  23. Shinozawa, Yoshikatsu & Vivian, Andrew, 2015. "Determinants of money flows into investment trusts in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 138-161.
  24. Krzysztof Jackowicz & Oskar Kowalewski & Łukasz Kozłowski, 2011. "The Short and Long Term Performance Persistence in the Central European Banking Industry," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(4), December.
  25. Chen, Li-Wen & Adams, Andrew & Taffler, Richard, 2013. "What style-timing skills do mutual fund “stars” possess?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 156-173.
  26. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2014. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence of Islamic and Socially Responsible Funds," Working Papers 2014/19, Economics Department, Universitat Jaume I, Castellón (Spain).
  27. Jonathan Fletcher & Andrew Marshall, 2014. "Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(1), pages 67-89, February.
  28. Salganik, G., 2010. "Essays on investment flows of hedge fund and mutual fund investors," Other publications TiSEM e5953fbe-064e-4647-9353-0, Tilburg University, School of Economics and Management.
  29. Barker, Richard & Hendry, John & Roberts, John & Sanderson, Paul, 2012. "Can company-fund manager meetings convey informational benefits? Exploring the rationalisation of equity investment decision making by UK fund managers," Accounting, Organizations and Society, Elsevier, vol. 37(4), pages 207-222.
  30. Amol Navathe & Guy David, 2009. "The Formation of Peer Reputation among Physicians and Its Effect on Technology Adoption," Journal of Human Capital, University of Chicago Press, vol. 3(4), pages 289-322.
  31. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
  32. Scott Bennett & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Yuki Xi, 2018. "A new perspective on performance persistence: evidence using portfolio holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 91-125, March.
  33. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
  34. Qiang Bu, 2020. "Investor Sentiment and Mutual Fund Alpha," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(1), pages 57-65, January.
  35. Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016. "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 124-147.
  36. Andrew Clare & Niall O'Sullivan & Meadhbh Sherman, 2014. "Family status and mutual fund performance," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 163-175, June.
  37. Abhay Kaushik & Anita K. Pennathur, 2013. "Performance And New Money Cash Flows In Real Estate Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(4), pages 453-470, December.
  38. Hanaki, Nobuyuki & Kirman, Alan & Marsili, Matteo, 2011. "Born under a lucky star?," Journal of Economic Behavior & Organization, Elsevier, vol. 77(3), pages 382-392, March.
  39. Jin-Li Hu & Tzu-Pu Chang & Ray Chou, 2014. "Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?," Journal of Productivity Analysis, Springer, vol. 41(1), pages 141-151, February.
  40. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
  41. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2016. "UK equity mutual fund alphas make a comeback," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 98-110.
  42. Foran, Jason & Hutchinson, Mark C. & O'Sullivan, Niall, 2015. "Liquidity commonality and pricing in UK equities," Research in International Business and Finance, Elsevier, vol. 34(C), pages 281-293.
  43. Parshakov, Petr, 2015. "Estimation of skill of Russian mutual fund managers," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 37(1), pages 57-66.
  44. Mamatzakis, Emmanuel & Xu, Bingrun, 2016. "Managerial attributes and equity mutual fund performance: evidence from china," MPRA Paper 76139, University Library of Munich, Germany.
  45. Feng Dong & John A. Doukas, 2019. "The payback of mutual fund selectivity in European markets," European Financial Management, European Financial Management Association, vol. 25(1), pages 160-180, January.
  46. Omneya Abdelsalam & Meryem Duygun & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina, 2017. "Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 363-384, June.
  47. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  48. Costanza Torricelli & Maria Cesira Urzì Brancati & Luca Mirtoleni, 2014. "The impact of skill and management structure on Serie A Clubs’ performance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 14107, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  49. Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2014. "Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias," Journal of Financial Markets, Elsevier, vol. 19(C), pages 86-109.
  50. Huang, Rong & Pilbeam, Keith & Pouliot, William, 2021. "Do actively managed US mutual funds produce positive alpha?," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 472-492.
  51. Foran, Jason & O'Sullivan, Niall, 2014. "Liquidity risk and the performance of UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 178-189.
  52. Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
  53. Mamatzakis, Emmanuel & Xu, Bingrun, 2017. "Does corporate governance matter in fund management company: the case of china," MPRA Paper 76138, University Library of Munich, Germany.
  54. Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
  55. Yongjae Lee & Woo Chang Kim & Jang Ho Kim, 2020. "Achieving Portfolio Diversification for Individuals with Low Financial Sustainability," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
  56. Chen, Jiaqi & Sherif, Mohamed, 2016. "Illiquidity premium and expected stock returns in the UK: A new approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 52-66.
  57. Liao, Li & Zhang, Xueyong & Zhang, Yeqing, 2017. "Mutual fund managers' timing abilities," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 80-96.
  58. Costanza Torricelli & Maria Cesira Urzì Brancati & Luca Mirtoleni, 2014. "The impact of skill and management structure on Serie A Clubs’ performance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0046, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  59. Asal, Maher, 2016. "Testing for the presence of skill in Swedish mutual fund performance: Evidence from a bootstrap analysis," Journal of Economics and Business, Elsevier, vol. 88(C), pages 22-35.
  60. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
  61. Wang, Hu & Li, Shouwei & Ma, Yuyin & Jiang, Shuyang, 2022. "Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  62. Zhichao Zhang & Li Ding & Si Zhou & Yaoyao Fu, 2014. "Fund Family Tournament and Performance Consequences: Evidence from the UK fund industry," Multinational Finance Journal, Multinational Finance Journal, vol. 18(1-2), pages 43-84, March - J.
  63. Ioannis D Vrontos & Loukia Meligkotsidou & Spyridon D Vrontos, 2011. "Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility," Journal of Asset Management, Palgrave Macmillan, vol. 12(4), pages 292-307, September.
  64. Clare, Andrew & Motson, Nick & Sapuric, Svetlana & Todorovic, Natasa, 2014. "What impact does a change of fund manager have on mutual fund performance?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 167-177.
  65. Auer, Benjamin R. & Schuhmacher, Frank & Niemann, Sebastian, 2023. "Cloning mutual fund returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 31-37.
  66. Agyei-Ampomah, Sam & Clare, Andrew & Mason, Andrew & Thomas, Stephen, 2015. "On luck versus skill when performance benchmarks are style-consistent," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 127-145.
  67. Francesco Lisi, 2011. "Dicing with the market: randomized procedures for evaluation of mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 163-172.
  68. Roberto Stein, 2022. "‘Smart’ copycat mutual funds: on the performance of partial imitation strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
  69. Iris Biefang-Frisancho Mariscal, 2017. "The impact of quantitative easing on aggregate mutual fund flows in the UK," Working Papers 20171704, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
  70. Chen Su & Hanxiong Zhang & Kenbata Bangassa & Nathan Lael Joseph, 2019. "On the investment value of sell-side analyst recommendation revisions in the UK," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 257-293, July.
  71. Hanke, Bernd & Keswani, Aneel & Quigley, Garrett & Zagonov, Maxim, 2018. "Survivorship bias and comparability of UK open-ended fund databases," Economics Letters, Elsevier, vol. 172(C), pages 110-114.
  72. Mamatzakis, E & Babalos, Vassilios & filipas, n, 2013. "Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes," MPRA Paper 51640, University Library of Munich, Germany.
  73. Alexandros Kostakis, 2009. "Performance measures and incentives: loading negative coskewness to outperform the CAPM," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 463-486.
  74. Mehreen Mahmud & Nawazish Mirza, 2011. "An Evaluation of Mutual Fund Performance in an Emerging Economy: The Case of Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(Special E), pages 301-316, September.
  75. Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2020. "An evaluation of Chinese securities investment fund performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 249-259.
  76. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "The Market Timing Ability of UK Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 270-289.
  77. Keith Pilbeam & Hamish Preston, 2019. "An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?," IJFS, MDPI, vol. 7(1), pages 1-16, January.
  78. Wagner, Moritz & Margaritis, Dimitris, 2017. "All about fun(ds) in emerging markets? The case of equity mutual funds," Emerging Markets Review, Elsevier, vol. 33(C), pages 62-78.
  79. Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2017. "Performance persistence in Chinese securities investment funds," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1467-1477.
  80. Niall O’Sullivan & Sheng Zhu & Jason Foran, 2019. "Sentiment versus liquidity pricing effects in the cross-section of UK stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 317-329, July.
  81. Onur Kemal Tosun & Liang Jin & Richard Taffler & Arman Eshraghi, 2022. "Fund manager skill: selling matters more!," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 969-994, October.
  82. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
  83. Clare, Andrew, 2017. "The performance of long-serving fund managers," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 152-159.
  84. Veeravel. V & A. Balakrishnan, 2023. "Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 37-48, March.
  85. Stanisław Urbański, 2017. "Short-, medium- and long-run performance persistence of investment funds in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 343-374.
  86. Meyler, Aidan, 2020. "Forecast performance in the ECB SPF: ability or chance?," Working Paper Series 2371, European Central Bank.
  87. Pankaj K. Agarwal & H. K. Pradhan, 2018. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 157-184, August.
  88. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "The Market Timing Ability of UK Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 270-289, January.
  89. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
  90. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.
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