{"title":"巴西共同股票基金的业绩——一个Bootstrap分析","authors":"M. Laes, M. Silva","doi":"10.2139/ssrn.2322767","DOIUrl":null,"url":null,"abstract":"This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"22","resultStr":"{\"title\":\"Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis\",\"authors\":\"M. Laes, M. Silva\",\"doi\":\"10.2139/ssrn.2322767\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.\",\"PeriodicalId\":246436,\"journal\":{\"name\":\"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)\",\"volume\":\"2 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"22\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2322767\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2322767","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis
This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
