Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958812 | Journal of Empirical Finance | 2011 | 14 Pages |
Abstract
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.
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Authors
Mohamed A. Ayadi, Lawrence Kryzanowski,