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Jorge Sainz, Pilar Grau, Luis Miguel Doncel and Javier Otamendi
''An evaluation on the true statistical relevance of Jensen's alpha trough simulation: An application for Germany''
( 2008, Vol. 7 No.10 )
Mutual fund managers' ability to generate continuous positive value in excess to a relevant benchmark index is a crucial aspect for its evaluation. Focusing on the German market, in this research we apply several simulation methods that avoid statistical problems related to multiple hypothesis testing in traditional financial techniques. By doing so we obtain a threshold value that delimits what is considered the true null hypothesis. Our main result is that managers'' action are of little significance with only a small part of them adding excess value to mutual funds they run.
JEL: G2 - Financial Institutions and Services: General
Manuscript Received : Feb 19 2008 Manuscript Accepted : Jul 23 2008

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