False discoveries in the performance of Australian managed funds

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

doi:10.1016/j.pacfin.2013.09.005

False discoveries in the performance of Australian managed funds

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

Department of Economics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	244-256
Number of pages	13
Journal	Pacific Basin Finance Journal
Volume	26
DOIs	https://doi.org/10.1016/j.pacfin.2013.09.005
State	Published - Jan 2014

Keywords

Australian managed fund
Bootstrap
False discovery rate
Performance

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10.1016/j.pacfin.2013.09.005

Cite this

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title = "False discoveries in the performance of Australian managed funds",

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.",

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AB - 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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KW - Bootstrap

KW - False discovery rate

KW - Performance

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JO - Pacific Basin Finance Journal

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False discoveries in the performance of Australian managed funds

Abstract

Keywords

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