Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis
By Robert Kosowski, Allan Timmermann, Russ Wermers, Halbert White. 2006
186 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/467a9f74609b2ce306e1815d396a2898dbdaea78
Citations in the corpus
- Hedge Funds: Performance, Risk, and Capital Formation (2008, unknown): “Using Fung and Hsieh’s (2004a) seven-factor model and the nonparametric procedure of Kosowski et al. (2006) (see the Appendix for details), we identify the funds that deliver significantly positive alpha and segregate them from those that do not.9 As previously mentioned, we denote the former set…”
- Do Market Timing Hedge Funds Time the Market (2007, unknown): “Laplante (2003) measures timing ability among 357 balanced and asset-allocation mutual funds during the period 1992– 2002.”
- Yet Another Puzzle? The Relation between Price and Performance in the Mutual Fund Industry (2007, unknown): “…recent entries to this literature include Malkiel (1995); Brown and Goetzmann (1995); Gruber (1996); Carhart (1997); Daniel et al. (1997), Hendricks et al. (1993); Elton et al. (1996); Wermers (2000); Cohen et al. (2005); Kacperczyk et al. (2005); Busse and Irvine (2006); Kosowski et al. (2006).”
- Unobserved Actions of Mutual Funds (2008, unknown): “2 See, for example, Livingston and O’Neal (1996), Chalmers, Edelen, and Kadlec (1999), Wermers (2000), and Karceski, Livingston, and O’Neal (2005) for studies of the trading costs of mutual funds.”
- Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (2010, unknown): “To deal with the problem of not knowing the parameters of the covariance matrix or the critical values of the test statistic, we follow recent studies on …nancial time series such as Sullivan, et al. (1999) and Kosowski et al. (2006) and use a bootstrap methodology.”
- Luck versus Skill in the Cross-Section of Mutual Fund Returns (2010, unknown): “The period is 1975 to 2002 (as in Kosowski et al. (2006)).”