Stock-picking Ability of Domestic Equity Fund Managers －Application of Bootstrap Analysis Method
Date Issued
2007
Date
2007
Author(s)
Zhi-Xiang, Huang
DOI
zh-TW
Abstract
For studying the question, “can star fund managers really pick stocks?”, we apply a new bootstrap statistical technique to examine those funds with very outstanding and very poor alpha. We choose the 57 domestic equity mutual funds as research target over the 1997 to 2007 period. To begin with the Carhart four-factors model, we find out the alpha and the residuals of each fund. For those funds with very outstanding （or very poor） alpha, through bootstrap analysis we examine if those alphas originate from the fund managers’ stock-picking ability or merely luck（bad luck）. Our bootstrap approach uncovers findings which show that（1）all those outstanding alphas are significantly positive which imply the outstanding performances do not come from merely luck but from fund managers’ stock-picking ability；（2）the outstanding alphas are more statistically significant than the poor alphas；（3）by dividing the research period into two parts, each 5 years, the funds with outstanding alpha have higher frequency of appearing in both parts than the poor alpha funds have.
Subjects
共同基金
選股能力
運氣
Bootstrap
Carhart四因子模型
Mutual Funds
Stock-picking Ability
Luck
Type
thesis
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