False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
提出一种控制虚假发现的技术，将共同基金按运气分离为无技能、零阿尔法和有技能三类，发现75%的基金净费用后阿尔法为零，且1996年前有技能基金较多，到2006年几乎消失。
ABSTRACT This paper develops a simple technique that controls for “false discoveries,” or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero‐alpha, and (3) skilled funds, even with dependencies in cross‐fund estimated alphas. We find that 75% of funds exhibit zero alpha (net of expenses), consistent with the Berk and Green equilibrium. Further, we find a significant proportion of skilled (positive alpha) funds prior to 1996, but almost none by 2006. We also show that controlling for false discoveries substantially improves the ability to find the few funds with persistent performance.