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False discoveries in the performance of Australian managed funds
- Issue Date
- Jan-2014
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Australian managed fund; Performance; False discovery rate; Bootstrap
- Citation
- PACIFIC-BASIN FINANCE JOURNAL, v.26, pp 244 - 256
- Pages
- 13
- Indexed
- SSCI
SCOPUS
- Journal Title
- PACIFIC-BASIN FINANCE JOURNAL
- Volume
- 26
- Start Page
- 244
- End Page
- 256
- ISSN
- 0927-538X
1879-0585
- Abstract
- This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed funds, shifting the distribution of alphas to the right. This result is robust to the adoption of the residual-only bootstrap procedure. In addition, when we adopt the conditional model to examine performance persistence by controlling the FDR, we find that Australian managed funds do not exhibit performance persistence. (C) 2013 Published by Elsevier B.V.
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Related Researcher
- Ji, In Yeob
- College of the Social Science (Department of Economics)