[Statlist] Research Seminar in Statistics *FRIDAY 26 OCTOBER 2018* GSEM, University of Geneva

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Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you

Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY 26 OCTOBER 2018 at 11:15am, Uni-Mail M 5220

The Cross-Sectional Distribution of Fund Skill Measures
Olivier SCAILLET - University of Geneva, Geneva School of Economics and Management, Geneva Finance Research Institute

ABSTRACT:

'We develop an econometric methodology to infer the distribution of performance from a large unbalanced panel of individual mutual funds. We investigate net alphas, gross alphas, and value added estimated from linear factor models. We use a simple kernel density estimator, and show its asymptotic normality under increasing cross-sectional and time series dimensions, and vanishing bandwidth. The empirical analysis investigates the distribution of performance on about two thousand US mutual funds from January 1975 to December 2012. We relate the distribution of performance to fund characteristics such as size, turnover, and flows. The analysis reveals an heterogeneous impact of these characteristics across funds.'


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/