Vis enkel innførsel

dc.contributor.authorBlørstad, Morten
dc.contributor.authorBakkejord, Bjørn Otto
dc.date.accessioned2017-09-08T11:54:11Z
dc.date.available2017-09-08T11:54:11Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/11250/2453778
dc.descriptionMaster's thesis Business Administration BE501 - University of Agder 2017nb_NO
dc.description.abstractThis thesis examines the performance and persistence of Norwegian mutual funds using a comprehensive dataset (surviving and non-surviving funds) over the period 1983-2015. We examine the performance of Norwegian mutual funds on aggregate level and individually, using the Carhart (1997) four-factor model as our performance model. We find that Norwegian mutual funds, on aggregate, do not produce significant abnormal risk-adjusted returns. When examining mutual funds individually, we apply a cross-section bootstrap to distinguish between skill and luck. The bootstrap is necessary for proper inference because the cross-section of alphas has non-normalities in the tails of the distribution due to idiosyncratic risk-taking and non-normalities in the individual fund’s alpha distribution. We find no evidence of skills among the top performing funds. We do however find evidence of bad skill among the poorest performers. There is no evidence of persistence among top performers, but the performance of poor funds persists in short-term.nb_NO
dc.language.isoengnb_NO
dc.publisherUniversitetet i Agder ; University of Agdernb_NO
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectBE501nb_NO
dc.titleCan Norwegian Mutual Fund Managers Pick Stocks?nb_NO
dc.typeMaster thesisnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210nb_NO
dc.source.pagenumber75, [2] p.nb_NO


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel

Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal