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Mutual Fund Performance: Skill Or Luck?

Author

Listed:
  • Dirk Nitzsche

    (Cass Business School, City University London)

  • Keith Cuthbertson

    (Cass Business School, City University London)

  • Niall O'Sullivan

    (University College Cork)

Abstract

No abstract is available for this item.

Suggested Citation

  • Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc05:4
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    File URL: http://repec.org/mmfc05/paper4.pdf
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    References listed on IDEAS

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    11. Judith Chevalier & Glenn Ellison, 1999. "Are Some Mutual Fund Managers Better Than Others? Cross‐Sectional Patterns in Behavior and Performance," Journal of Finance, American Finance Association, vol. 54(3), pages 875-899, June.
    12. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March.
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    14. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2007. "Improved Forecasting of Mutual Fund Alphas and Betas," Review of Finance, European Finance Association, vol. 11(3), pages 359-400.
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    27. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 399-425, September.
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    29. Lawrence Leger, 1997. "UK investment trusts: performance, timing and selectivity," Applied Economics Letters, Taylor & Francis Journals, vol. 4(4), pages 207-210.
    30. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
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    Cited by:

    1. repec:ebl:ecbull:v:7:y:2008:i:10:p:1-9 is not listed on IDEAS
    2. Chris GROSE & Theodoros KARGIDIS, 2012. "Persistence In Performance For Mutual Funds In Periods Of Crisis," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(1), pages 85-98.
    3. Vassilios Babalos & Guglielmo Maria Caporale & Alexandros Kostakis & Nikolaos Philippas, 2008. "Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 735-753.
    4. Nuttall, John, 2007. "Flaw in the fund skill/luck test method of Cuthbertson et al," MPRA Paper 1584, University Library of Munich, Germany.
    5. Jorge Sainz & Pilar Grau & Luis Miguel Doncel & Javier Otamendi, 2008. "An evaluation on the true statistical relevance of Jensen's alpha trough simulation: An application for Germany," Economics Bulletin, AccessEcon, vol. 7(10), pages 1-9.

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