A Performance Evaluation of Norwegian Mutual Funds: Luck versus Skill

2021

Master's thesis in Business administration (BE501) In this master’s thesis, we examine the performance of Norwegian mutual fund man-agers. Through a dataset of 107 Norwegian mutual funds’ monthly returns from 1987-2019, we estimate fund managers’ abnormal performance using Carhart (1997) four-factor model. First, we find that the managers cannot generate significant abnormal returns on an aggregate level. Further, we test the null hypothesis of zero performance in bootstrap approaches similar to Kosowski, Timmermann, Wermers and White (2006) and Fama & French (2010) to test whether the performance is is a result of luck or skills. We find no evidence of skill among the outperforming funds. …