主题：Persistence in Alphas without Persistence in Skill
主讲人：Juhani Linnainmaa，达特茅斯德州扑克大小
教授
时间：11月12日（周三）上午10:00-11:30
地点：4-101教室
语言：英文
摘要：
The persistence of mutual fund alphas is often viewed as evidence that some funds possess skill and that this skill persists. This interpretation is unwarranted when security factor lines are too flat. A sort on estimated alphas is a sort against betas: high-alpha funds are predominantly low-beta funds and vice versa. Thus, a strategy of investing in high-alpha funds benefits not from skill, but from a betting-against-multiple-betas effect. In-sample tests intended to separate luck from skill are similarly biased. We demonstrate this bias through simulations and show that applying a correction factor eliminates much of the apparent skill in mutual fund data.
主讲人介绍：
Juhani Linnainmaa is a finance professor who studies asset pricing, investments, and household finance. From 2006 to 2016, he was a faculty member of the University of Chicago’s Booth School of Business. He joined the Tuck School of Business faculty in 2019. Linnainmaa is a research associate at the National Bureau of Economic Research and a recipient of the Amundi Smith Breeden Prize (2018), the Marshall E. Blume Prize (2016), and the CFA Society & Hillsdale Canadian Investment Research Award (2015). As a finance professor at Tuck, he teaches an elective course in investments.
