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  • 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)
    In, Francis H.
    Year published
    2014
    Metadata
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    Abstract
    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
    DOI
    https://doi.org/10.1016/j.pacfin.2013.09.005
    Subject
    Banking, Finance and Investment not elsewhere classified
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/336470
    Collection
    • Journal articles

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