Internet Appendix to “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas”
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چکیده
We use the bootstrap procedure proposed by Storey (2002) and Storey, Taylor, and Siegmund (2004) to estimate the proportion of zero-alpha funds in the population, 0. This resampling approach chooses from the data such that an estimate of the Mean Squared Error ( ) of b0 ( ) dened as (b0 ( ) 0) is minimized. First, we compute b0 ( ) using equation (5) of the paper across a range of values ( = 0 30 0 35 0 70) Second, for each possible value of we form 1,000 bootstrap replications of b0 ( ) by drawing with replacement from the ×1 vector of fund -values These are denoted by b0 ( ), for = 1 1 000 Third, we compute the estimated for each possible value of :
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