free research papers on mutual funds

NBER Working Paper No. 7779 Issued in July 2000 NBER Program(s):   AP Our framework for evaluating and investing in mutual funds combines observed returns on funds and passive assets with prior beliefs that distinguish pricing-model inaccuracy from managerial skill. A fund's alpha' is defined using passive benchmarks. We show that returns on non-benchmark passive assets help estimate that alpha more precisely for most funds. The resulting estimates generally vary less than standard estimates across alternative benchmark specifications. Optimal portfolios constructed from a large universe of equity funds can include actively managed funds even when managerial skill is precluded. The fund universe offers no close substitutes for the Fama-French and momentum benchmarks.    (9030 K) Machine-readable bibliographic record - MARC, RIS, BibTeX Document Object Identifier (DOI): 10.3386/w7779 Published: Pastor, Lubog and Robert F. Stambaugh. Investing In Equity Mutual Funds, Journal of Financial Economics, 2002, v63(3,Mar), 351-380. Users who downloaded this paper also downloaded these:  .
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