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dc.contributor.authorHoem, Kenneth Nordlund
dc.contributor.authorAasland, Erik Rosmer
dc.date.accessioned2019-01-04T09:03:21Z
dc.date.available2019-01-04T09:03:21Z
dc.date.issued2018
dc.identifier.urihttp://hdl.handle.net/11250/2579105
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018nb_NO
dc.description.abstractThis thesis examines the performance of 1704 actively managed U.S. open-end, domestic equity mutual funds in the period of January 1995 to December 2017. Regression results for an equal-weighted portfolio suggest that fund managers in aggregate do not possess sufficient skill to cover their costs. We use a bootstrap procedure to distinguish skill from luck in the cross-section of three-factor t(α) estimates for net and gross fund returns. The bootstrap results show that a sizeable minority of fund managers do have sufficient skill to cover their costs. The evidence of skill is stronger when examining performance gross of management fees. Under the assumption that the cross-section of true α has a normal distribution with mean zero and standard deviation σ, we inject α into fund returns in the bootstrap simulations. We find that the σ for the left tail is about 0.75% a year, while the right tail is about 1.25%.nb_NO
dc.language.isoengnb_NO
dc.publisherHandelshøyskolen BInb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.titleU.S. Mutual Fund Performance: Skill or Luck?nb_NO
dc.typeMaster thesisnb_NO


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