False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.

By L. Barras, Olivier Scaillet, Russ Wermers. 2005

810 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d0520f11b55392c010fa048e3186b7512ef9e9e9

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Citations in the corpus

Mutual Fund Performance: Skill or Luck? (2005, methodology): “Our findings for the UK of ‘skill’ mainly among some top performing UK income funds are in contrast to results in Kosowski et al (2007) and Barras et al (2005) for US mutual funds, who find that it is the top performing growth funds that have skill.”
Risk Shifting and Mutual Fund Performance (2010, neutral): “Studying the performance consequences of risk shifting (1)The literature on the investment ability of mutual fund managers includes Treynor and Mazuy (1966), Jensen (1968), Henriksson and Merton (1981), Grinblatt and Titman (1993), Brown and Goetzmann (1995), Ferson and Schadt (1996), Carhart (1997)”
Can Mutual Funds Outguess the Market: Evidence from Bangladesh? (2016, methodology): “[20] applied the “False Discovery Rate” (FDR) technique to the returns of 2,076 U.”
Journal of the American Statistical Association Estimating False Discovery Proportion under Arbitrary Covariance Dependence Estimating False Discovery Proportion under Arbitrary Covariance Dependence (neutral): “…of hypotheses are tested simultaneously to find if any of these genomic data are associated with some observable traits (e.g., blood pressure, weight, some disease); in finance, thousands of tests are performed to see which fund managers have winning ability (Barras, Scaillet, and Wermers 2010).”
Is Unbiased Financial Advice to Retail Investors Sufficient? Answers from a Large Field Study (2012, background): “Benartzi and Thaler (2004) document demand-side problems in the context of savings decisions.”
False discovery rate control with e‐values (2020, methodology): “We briefly review the BH and BY procedures (Benjamini and Hochberg (1995); Benjamini and Yekutieli (2001)) for FDR control, as the benchmark for our discussions.”
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance (2013, background): “Barras, Scaillet, and Wermers (2010) document a decrease in the fraction of skilled funds (funds with positive alphas) from 14.4% in early 1990 to 0.6% in late 2006, and an increase in the proportion of unskilled funds from 9.2% to 24.0%.”
A diagnostic criterion for approximate factor structure (2016, methodology): “We consider the aggregate consumption growth cgt for the CCAPM (Lucas (1978), Breeden (1979)) and the Epstein and Zin (1989) model (see also Epstein and Zin (1991)), the durable and nondurable-consumption growth rate introduced by Yogo (2006) and denoted by dcgt and ndcgt.”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, positive): “21We also undertook an alternative analysis of this issue using the false discovery rate (FDR) method of Barras, Scaillet, and Wermers (2010).”