• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Fakultet for økonomi (ØK)
  • Institutt for industriell økonomi og teknologiledelse
  • View Item
  •   Home
  • Fakultet for økonomi (ØK)
  • Institutt for industriell økonomi og teknologiledelse
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Performance and Persistence in Norwegian Mutual Funds

Hansen, Helge Hoff; Haukaas, Eirik Solli; Gallefoss, Kristoffer
Master thesis
Thumbnail
View/Open
629181_COVER01.pdf (184.4Kb)
629181_FULLTEXT01.pdf (2.094Mb)
URI
http://hdl.handle.net/11250/266269
Date
2012
Metadata
Show full item record
Collections
  • Institutt for industriell økonomi og teknologiledelse [1894]
Abstract
Using a dataset free of survivorship bias, we investigate the performance and performance persistence of Norwegian mutual funds in the period 2000-2010. To evaluate mutual fund performance we apply a multi-period version of the Carhart 4-factor model to obtain Jensen's alpha. We assess the statistical significance of the alpha point estimates by comparing them to alpha distributions generated from bootstrap simulations. We find that mutual fund investors in aggregate realize risk-adjusted net returns that underperform the benchmark by approximately the fund fees. Additionally, the evidence implies that the managers of the funds that lie in the right tail of the cross-section of mutual fund alpha estimates inhabit stock-picking skills, while the managers of the worst performing funds are both mistiming the market and picking bad stocks. Depending on various statistical methodologies we find different levels of performance persistence. When we reevaluate performance on a monthly basis, our evidence indicates short-term persistence among superior funds. Moreover, the performance of inferior funds strongly persists up to one year.
Publisher
Institutt for industriell økonomi og teknologiledelse

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit