| dc.description.abstract | We wish to enrichen the debate on whether actively managed mutual funds can earn
excess returns to justify the fees carried by their investors. An important question
to answer is whether mutual funds are able to earn excess returns net of fees,
especially during the down markets, when we reckon it matters the most for their
investors. We investigate Norwegian mutual fund’s performance by employing
Carhart’s (1997) four-factor model and running bootstrap simulations similar to that
of Kosowski et al. (2006) and Fama and French (2010). To investigate how
performance relates to changing market conditions, we evaluate performance on
both the entire sample period, as well as sub-samples representing bear- and bull
markets. Persistence in performance is evaluated by employing Carhart’s (1997)
portfolio formation approach. Our findings indicate that some Norwegian mutual
funds are skilled enough to generate abnormal returns net of fees for their investors.
However, we find no evidence of performance persistence, suggesting that
Norwegian markets are somewhat efficient. | nb_NO |
