کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958812 929079 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fixed-income fund performance: Role of luck and ability in tail membership
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Fixed-income fund performance: Role of luck and ability in tail membership
چکیده انگلیسی

The risk-adjusted performance (alphas) of a comprehensive and survivorship-free sample of Canadian bond funds after (before) management-related costs is negative (positive) and is weakly sensitive to the choice of the return-generating process. A conditional multi-factor model that captures maturity differences and default risk best describes the return-generating process of these funds. Examination of funds in the tails of the performance distribution using the block-bootstrap method suggests that “bad luck” causes the before costs underperformance of extreme left-tail funds and no fund possesses truly superior management skills.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 379–392
نویسندگان
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