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hal.structure.identifier
dc.contributor.authorBernard, Philippe
HAL ID: 174610
ORCID: 0000-0003-1661-8705
*
hal.structure.identifier
dc.contributor.authorBlanchard, Michel*
dc.date.accessioned2013-11-14T09:29:20Z
dc.date.available2013-11-14T09:29:20Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12058
dc.language.isoenen
dc.subjectMutual funds performancesen
dc.subjectoverperformanceen
dc.subjectfund managers skillsen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.titleThe performance of mutual funds on French stock market:Do star funds' managers exist or do funds have to hire chimpanzees?en
dc.typeDocument de travail / Working paper
dc.description.abstractenWe test here the kahneman (kahneman 2011) results about fund managers: that is, do managers are really skilled or could any chimpanzee do the job? Moreover, the recent stormy period should enlighten us about the interest to invest in mutual funds: do they over perform the market? Do they smooth the losses? Do they have well managed the alternative bearish and bullish periods of the markets? Few recent studies focus on the French Stock market. In this paper, we investigate the performance, persistence and behavior of mutual funds only investing in the Paris stock exchange market from 2000 to 2012. We find that funds clearly over-perform the market on average but only on a 60 months investment horizon. Average annual excess is close to zero (+0.3%) for funds which were active over all the period. Yet, some have salient good (bad) relative performances. The challenge is then to distinguish skill from luck since funds can have extreme returns by luck. Our approach is to test for persistence in fund returns, that is, whether past winners continue to produce high returns and losers continue to underperform. Then, we apply the Carhart 1997 4-factors model, in order to evaluate the weight of the systematic drivers of the performance.en
dc.publisher.nameUniversity Library of Munichen
dc.publisher.cityMunichen
dc.identifier.citationpages18en
dc.relation.ispartofseriestitleMPRA Paperen
dc.relation.ispartofseriesnumber46896en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01515492*
hal.version1*
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