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False discoveries in the performance of Australian managed funds

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

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.

Suggested Citation

  • Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 244-256.
    • Handle: RePEc:eee:pacfin:v:26:y:2014:i:c:p:244-256
    DOI: 10.1016/j.pacfin.2013.09.005
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    Cited by:

    1. Dimitrios Koutmos & Bochen Wu & Qi Zhang, 2020. "In search of winning mutual funds in the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 589-616, February.
    2. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
    3. Humphrey, Jacquelyn E. & Benson, Karen L. & Low, Rand K.Y. & Lee, Wei-Lun, 2015. "Is diversification always optimal?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 521-532.

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    More about this item

    Keywords

    Australian managed fund; Performance; False discovery rate; Bootstrap;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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