Luck versus Skill in the Cross-Section of Mutual Fund Returns

By C. Emory. 2011

1,249 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5c8a6cf9fdcedcdd2d8f976416836a429424674c

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Citations in the corpus

Institutional Investors and Stock Return Anomalies (2016, neutral): “Likewise, Frazzini and Lamont (2008) argue that the value effect is due, in part, to mispricing from investor flows into mutual funds holding growth stocks.”
Can Hedge Funds Time Market Liquidity (2012, neutral): “, Henriksson and Merton (1981), Jagannathan and Korajczyk (1986), Grinblatt and Titman (1989), Ferson and Schadt (1996), Busse (1999), Jiang, Yao, and Yu (2007), and Chen, Ferson, and Peters (2010).”
Scale and Skill in Active Management (2014, background): “Ferreira et al. (2013a) analyze the performance of active equity mutual funds in 27 countries.”
Size, value, and momentum in international stock returns (2012, neutral): “The results of Carhart (1997) and Fama and French (2010) suggest, however, that few mutual funds have extreme momentum tilts.”
Retail Financial Advice: Does One Size Fit All? (2015, positive): “In every specification the right tail of the t-value distribution extends farther than that of the ref- 16The full details of the Fama and French (2010) bootstrapping procedure are as follows: (1) estimate each fund’s alpha using all available data; (2) set funds’ full-sample alphas to zero by…”
Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, neutral): “Fama and French (2010) have used such adding-up constraint to argue that the average actively managed mutual fund cannot outperform passively managed funds.”
The Misguided Beliefs of Financial Advisors (2020, background): “” In the mutual fund literature, skill refers to a manager’s ability to extract rents from the rest of the market (Berk and van Binsbergen 2015) and, empirically, the average dollar invested in an actively managed mutual fund earns a zero gross alpha (Fama and French 2010).”
Portfolio Concentration and Performance of Institutional Investors Worldwide (2017, background): “To adjust for additional dimensions of systematic risk, in addition to the global market premium, we follow Fama and French (2012) and add global risk factors (SMB, HML, and UMD) in specification 5.”
False discovery rate control with e‐values (2020, background): “, Fama and French [8] in the context of detecting mutual fund skills.”
Chapter 21 - Household Finance: An Emerging Field∗ (2013, neutral): “After fees, actively managed mutual funds do not achieve a higher performance than passive indexes on average, and their risk adjusted returns display little persistence over time (Carhart, 1997; Fama and French, 2010; Jensen, 1968; Wermers, 2000).”