dc.contributor.advisor | Molnar, Peter | nb_NO |
dc.contributor.author | Hansen, Helge Hoff | nb_NO |
dc.contributor.author | Haukaas, Eirik Solli | nb_NO |
dc.contributor.author | Gallefoss, Kristoffer | nb_NO |
dc.date.accessioned | 2014-12-19T14:28:37Z | |
dc.date.available | 2014-12-19T14:28:37Z | |
dc.date.created | 2013-06-16 | nb_NO |
dc.date.issued | 2012 | nb_NO |
dc.identifier | 629181 | nb_NO |
dc.identifier | ntnudaim:7744 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/266269 | |
dc.description.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. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for industriell økonomi og teknologiledelse | nb_NO |
dc.title | Performance and Persistence in Norwegian Mutual Funds | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 65 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for industriell økonomi og teknologiledelse | nb_NO |