Testing for the presence of skill in Swedish mutual fund performance: Evidence from a bootstrap analysis
2016 (English)In: Journal of Economics and Business, ISSN 0148-6195, E-ISSN 1879-1735, Vol. 88, 22-35 p.Article in journal (Refereed) Published
We use a pooled panel bootstrap procedure and different benchmark models of performance to investigate presence of skill in mutual fund performance across different investment styles based on Swedish data from February 2007 to March 2015. To check robustness, we apply serial correlation, unit root, and variance ratio tests to examine the predictability and market efficiency of gross and net excess returns. The results suggest that Swedish funds underperform their benchmarks, net of costs. In addition, very few managers outperform the market, and too many managers underperform the market due to good and bad skills rather than good or bad luck. Â© 2016 Elsevier Inc.
Place, publisher, year, edition, pages
Philadelphia: Temple University Press, 2016. Vol. 88, 22-35 p.
Abnormal performance, Bootstrap, Expense ratio, Serial correlation, Variance ratio
Research subject SOCIAL SCIENCE, Economics
IdentifiersURN: urn:nbn:se:hv:diva-10269DOI: 10.1016/j.jeconbus.2016.07.001ScopusID: 2-s2.0-84996548889OAI: oai:DiVA.org:hv-10269DiVA: diva2:1057132