U.S. Mutual Fund Performance in Recessions and Expansions, 1977 to 2019.
Master thesis

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Date
2019Metadata
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- Master of Science [1822]
Abstract
Using a sample of 2680 U.S. actively managed open-end mutual funds in the
period from January 1977 through December 2018, we investigate whether
actively managed mutual funds are able to outperform a passive benchmark over a
504-month sample. We highlight whether mutual funds are able to generate
abnormal returns during NBER expansions and recessions. We find that an equalweighted
portfolio of net returns has a statistically significant abnormal return in
expansion, but not in recession. Further, we find evidence of strong superior
performance and underperformance by a small group of actively managed mutual
funds.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019