Bootstrap analysis of mutual fund performance

被引：1

作者：

Huang, Haitao ^{[1
]}

Jiang, Lei ^{[2
]}

Leng, Xuan ^{[3
,4
]}

Peng, Liang ^{[5
]}

机构：

[1] Nankai Univ, Sch Finance, Tianjin, Peoples R China

[2] Tsinghua Univ, Sch Econ & Management, Beijing, Peoples R China

[3] Xiamen Univ, Wang Yanan Inst Studies Econ, Sch Econ, Dept Stat & Data Sci,MOE Key Lab Econometr, Xiamen, Peoples R China

[4] Xiamen Univ, Fujian Key Lab Stat, Xiamen, Peoples R China

[5] Georgia State Univ, Dept Risk Management & Insurance, Atlanta, GA USA

来源：

JOURNAL OF ECONOMETRICS | 2023年 / 235卷 / 01期

基金：

中国国家自然科学基金; 美国国家科学基金会;

关键词：

Bootstrap; Edgeworth expansion; Hotelling's T-squared test; Mutual fund performance; CROSS-SECTION; FALSE DISCOVERIES; LUCK; ANOMALIES; SKILL; SIZE; RISK;

D O I：

10.1016/j.jeconom.2022.03.011

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study bootstrap methods for fund performance evaluation. We first show that two prominent bootstrap tests have biased test sizes in a large cross-section with short time series and lack test power to detect skilled funds when a substantial number of unskilled funds are present. We then develop the theory for a valid bootstrap Hotelling's T -squared test for zero alpha. We apply the proposed bootstrap test in a practical two-step procedure to identify skilled funds. Our empirical analysis finds that skilled funds are more engaged in active management and hold stocks with higher expected anomalous returns. (c) 2022 Elsevier B.V. All rights reserved.

引用

页码：239 / 255

页数：17

共 44 条

[1] Arbitrage risk and the book-to-market anomaly [J].