False discoveries in the performance of Australian managed funds

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

    Research output: Contribution to journalArticleResearchpeer-review

    4 Citations (Scopus)

    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
    Publication statusPublished - 2014

    Cite this

    Kim, Sangbae ; In, Francis Haeuck ; Ji, Philip Inyeob ; Park, Jonghyeon. / False discoveries in the performance of Australian managed funds. In: Pacific Basin Finance Journal. 2014 ; Vol. 26. pp. 244 - 256.
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    False discoveries in the performance of Australian managed funds. / Kim, Sangbae; In, Francis Haeuck; Ji, Philip Inyeob; Park, Jonghyeon.

    In: Pacific Basin Finance Journal, Vol. 26, 2014, p. 244 - 256.

    Research output: Contribution to journalArticleResearchpeer-review

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