Luck versus Skill in the Cross-Section of Mutual Fund Returns
By Eugene F. Fama, Kenneth R. French. 2010
452 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b6faff71b55ab8d0d8d43ad23762394a57880549
Citations in the corpus
- Do Corporate Site Visits Impact Stock Prices? (2018, unknown): “The literature suggests that fund managers are usually more informed investors (Fama and French 2010; Solomon and Soltes 2015).”
- What Are We Meeting For? The Consequences of Private Meetings with Investors (2015, unknown): “…inasmuch as they appear to earn abnormal returns (Kosowski, Naik, and Teo 2007; Brown, Goetzmann, and Ibbotson 1999; Ibbotson, Chen, Private Meetings with Investors 333 and Zhu 2011),8 while the average mutual fund does not appear to earn abnormal returns (see Carhart 1997; Fama and French 2010).”
- Is Unbiased Financial Advice to Retail Investors Sufficient? Answers from a Large Field Study (2012, unknown): “Barras, Scaillet, and Wermers (2010) and Fama and French (2010) find no evidence that the average mutual fund produces alphas that cover its costs.”
- Efficiently Inefficient Markets for Assets and Asset Management (2017, unknown): “(2007), Fung et al. (2008), Jagannathan et al. (2010)), private equity, and venture capital funds (Kaplan and Schoar (2005)). For instance, Kosowski, Naik, and Teo (2007) report that “top hedge fund performance cannot be explained by luck, and hedge fund performance persists at annual horizons.”
- Mutual Fund Performance and the Incentive to Generate Alpha (2012, unknown): “The typical actively managed U.S. equity fund earns a negative after-fee alpha (Gruber (1996), French (2008), Fama and French (2010), and others).”
- Precautionary Savings with Risky Assets: When Cash Is Not Cash (2016, unknown): “Following the critique in Gormley and Matsa (2014), columns 3-4 control for the unobserved heterogeneity in returns by including annual dummies for the Fama-French size and book-to-market portfolios.”
- Two Pillars of Asset Pricing (2013, unknown): “Research on the performance of managed portfolios (for example, mutual funds) routinely uses the intercepts (“alphas”) produced by (14), often augmented with a momentum factor (for example, Carhart 1997, and more recently Kosowski et al. 2006 or Fama and French 2010).”