False discoveries in the performance of Australian managed funds
Author(s)
Kim, Sangbae
In, Francis H.
Ji, Philip Inyeob
Park, Raphael Jonghyeon
Griffith University Author(s)
Year published
2014
Metadata
Show full item recordAbstract
This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed funds, shifting the distribution of alphas to the right. This result is robust to the adoption of the residual-only bootstrap procedure. In addition, when we adopt the conditional model to examine performance persistence by controlling the FDR, we find that Australian managed funds do not exhibit performance persistence.This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed funds, shifting the distribution of alphas to the right. This result is robust to the adoption of the residual-only bootstrap procedure. In addition, when we adopt the conditional model to examine performance persistence by controlling the FDR, we find that Australian managed funds do not exhibit performance persistence.
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Journal Title
Pacific-Basin Finance Journal
Volume
26
Subject
Banking, Finance and Investment not elsewhere classified
Accounting, Auditing and Accountability
Banking, Finance and Investment