Skilled Mutual Fund Selection: False Discovery Control Under Dependence
有技能共同基金的筛选：依赖情形下的错误发现控制
Selecting skilled mutual funds through the multiple testing framework has received increasing attention from finance researchers and statisticians. The intercept α of Carhart four-factor model is commonly used to measure the true performance of mutual funds, and positive α’s are considered as skilled. We observe that the standardized ordinary least-square estimates of α’s across the funds possess strong dependence and nonnormality structures, indicating that the conventional…