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dc.contributor.authorKim, Sangbae
dc.contributor.authorIn, Francis H.
dc.contributor.authorJi, Philip Inyeob
dc.contributor.authorPark, Raphael Jonghyeon
dc.date.accessioned2017-05-10T03:09:28Z
dc.date.available2017-05-10T03:09:28Z
dc.date.issued2014
dc.identifier.issn0927-538X
dc.identifier.doi10.1016/j.pacfin.2013.09.005
dc.identifier.urihttp://hdl.handle.net/10072/336470
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom244
dc.relation.ispartofpageto256
dc.relation.ispartofjournalPacific-Basin Finance Journal
dc.relation.ispartofvolume26
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchAccounting, Auditing and Accountability
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1501
dc.subject.fieldofresearchcode1502
dc.titleFalse discoveries in the performance of Australian managed funds
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorIn, Francis H.


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