Fund manager replacement performance persistence

This thesis will focus on the relation between funds performance and the fund managers. Since there is reason to assume that the manager personally brings an effect to performance, there should also be reason to suspect that a replacement of this manager ought to change the performance of the fund. The purpose of this thesis is to examine whether the replacement of a fund manager affects the funds performance…

Contents

1 Introduction
1.1 Introduction and background
1.2 Purpose
1.3 Structure
2 Literature review
2.1 Fund performance persistence
2.2 Manager performance persistence
3 Method
3.1 Sample selection criteria
3.2 Event window
3.3 Performance evaluation
3.4 Test structure and hypotheses
4 Data
4.1 Data sources
4.1.1 Fund facts data (data underlying fund selection)
4.1.2 Time series data
4.2 Data transformation
4.2.1 Estimating alphas
4.3 Data set
4.4 Weaknesses in the dataset
5 Testing and analysing
5.1 Definitions
5.1.1 Value for definition of winner/loser
5.2 Stratification
6 Results….

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Author: Anna Folkerman

Source: Stockholm School of Economics

Fund manager replacement performance persistence