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The Elusive “Stock-Picker’s Market”: Dispersion and Mutual Fund Performance
By Jacob Epstein This paper explores the relationship between active mutual fund performance and market dispersion from January 1990 to December 2018. I find a significant positive relationship between dispersion and 4-factor alpha overall, providing some evidence of managerial skill. There are large differences in this relationship by decade and fund selectivity. The results suggest […]
