tailieunhanh - False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Certain developing countries and certain developed countries are especially large debtors to commercial banks and foreign governments. Investment in debt obligations ("Sovereign Debt") issued or guaranteed by governments or their agencies ("governmental entities") of such countries involves a high degree of risk. The governmental entity that controls the repayment of Sovereign Debt may not be able or willing to repay the principal and/or interest when due in accordance with the terms of such debt. A governmental entity's willingness or ability to repay principal and interest due in a timely manner may be affected by, among other factors, its cash flow situation, the extent of its. | University of Maryland Robert H. Smith School RESEARCH PAPER NO. RHS 06-043 Swiss Finance Institute RESEARCH PAPER NO. 08-18 False Discoveries in Mutual Fund Performance Measuring Luck in Estimated Alphas Laurent Barras Swiss Finance Institute Imperial College London - Tanaka Business School O. Scaillet University of Geneva - HEC Swiss Finance Institute Russ R. Wermers University of Maryland- Robert H. Smith School of Business May 1 2008 This paper can be downloaded free of charge from the Social Science Research Network at http abstract 869748 False Discoveries in Mutual Fund Performance Measuring Luck in Estimated Alphas Laurent Barras Olivier Scailleh and Russ Wermers First version September 2005 This version May 2008 JEL Classification G11 G23 C12 Keywords Mutual Fund Performance Multiple-Hypothesis Test Luck False Discovery Rate We are grateful to S. Brown B. Dumas M. Huson A. Metrick L. Pedersen E. Ronchetti R. Stulz . Victoria-Feser M. Wolf as well as seminar participants at Banque Cantonale de Genève BNP Paribas Bilgi University CREST Greqam INSEAD London School of Economics Maastricht University MIT Princeton University Queen Mary Solvay Business School NYU Stern School Universita della Svizzera Italiana University of Geneva University of Georgia University of Missouri University of Notre-Dame University of Pennsylvania University of Virginia Darden the Imperial College Risk Management Workshop 2005 the Swiss Doctoral Workshop 2005 the Research and Knowledge Transfer Conference 2006 the Zeuthen Financial Econometrics Workshop 2006 the Professional Asset Management Conference at RSM Erasmus University 2008 the Joint University of Alberta University of Calgary Finance Conference 2008 the annual meetings of EC2 2005 ESEM 2oO6 EuRo XXI 2006 ICA 2006 AFFI 2006 SGF 2006 and WHU Campus for Finance 2007 for their helpful comments. We also thank C. Harvey the Editor the Associate Editor and the Referee both anonymous for numerous helpful insights. The