SEMINARIOS

TESIS DOCTORAL

El Profesor Pedro Hidalgo, Director del Departamento de Administración y Negocios de la Facultad de Economía y Negocios de la Universidad de Chile, los invita a participar de nuestro ciclo mensual de Seminarios. En esta oportunidad el tema a conversar estará enfocado en “Tesis Doctoral" y lo dictará el profesor Roberto Stein,académico de nuestro departamento, quien es Ph.D. in Business Administration, Tulane University, New Orleans, USA, Master in Business Administration, Tulane University, New Orleans, USA, Ingeniero Civil Industrial, Pontificia Universidad Católica de Chile, Santiago, Chile.

Este Seminario se llevará a cabo el día miércoles 13 de junio 2012 a las 13:00 hrs. en Diagonal Paraguay 257, Piso 10, Sala 1002, Torre 26, Santiago.

Les comparto un resumen de las principales ideas del Seminario de Roberto:

Eduardo Acuña

“The biggest challenge in testing mutual funds for manager skill is the lack of a probability distribution of returns under the null hypothesis of no skill. A test of skill is proposed based on Constrained Random Portfolio Analysis (CRPA). Simulation is used to perform an in-depth study of the properties of this test, and to compare its power against that of other tests of skill. Using the same random portfolio framework, further applications of this methodology are proposed. CRPA based measures are found to be more powerful and easier to interpret than tests based on regression models. A sample of U.S. equity mutual funds are tested for fund manager skill using three methodologies: the standard regression alpha, the bootstrap alpha and non-parametric tests based on CRPA. The main findings are that regression based measures of ‘skill’ are too correlated with fund performance to correctly separate the effects of each. On the other hand, CRPA based measures are able to reject the null of no skill even in funds that do not outperform, thus showing that a manager can be skillful, yet not obtain a performance above that of her peers due to circumstances beyond her control. Addressing these issues makes CRPA a useful tool not just for investors who wish to find skillfully managed funds, but also as a diagnostics tool for the managers themselves, who can use this information to improve performance".

PRÓXIMOS SEMINARIOS

  • Diciembre - Tercer Miércoles: 16 de diciembre 2015.
    • Área: Gestión de Personas / Management
    • Expositor/Tema: Daniel Schwartz, DII Universidad de Chile
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