Seminar by George Wang
- Topic: On Market States and the Value of the Actively Managed Mutual Fund Industry
- Speaker: George Wang, PhD Candidate, Department of Finance, University of Melbourne
- Venue:E4A 623
- When: 15th March, 2013, (Fri)
- Time: 11.30am-12.30pm (Morning Tea from 11am)
This paper presents a novel approach to quantify the economic value of mutual funds' conditional performance in bear market states. In particularly, this approach jointly evaluates fund managers' market timing and selectivity skills across market states. After accounting for the value of managers' insurance-like conditional performance in bear states, this study finds that the extra benefit arising from active mutual fund management in bad times offsets its cost at the aggregate level. Further, in terms of overall utility, no evidence is found that mutual fund investors, as a group, are suffering significant losses relative to the CAPM, Fama-French-three-factor, or Carhart-four-factor benchmarks.