False discoveries in the performance of Australian managed funds

Sangbae Kim, Francis In, Philip Inyeob Ji, Raphael Jonghyeon Park

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

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.

Original languageEnglish
Pages (from-to)244-256
Number of pages13
JournalPacific Basin Finance Journal
Volume26
DOIs
StatePublished - Jan 2014

Keywords

  • Australian managed fund
  • Bootstrap
  • False discovery rate
  • Performance

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