Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
用自助法分析1975-2002年美国开放式股票基金，发现相当一部分基金经理选股能力足以覆盖成本，且超额收益具有持续性。
ABSTRACT We apply a new bootstrap statistical technique to examine the performance of the U.S. open‐end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk‐taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies. Specifically, we find that a sizable minority of managers pick stocks well enough to more than cover their costs. Moreover, the superior alphas of these managers persist .