Both Kosowski et al. (2006) and Fama and French (2010) evaluate whether mutual funds outperform, but their conclusions are very different. We reconcile their findings. We show that the Fama and French method suffers from an undersampling problem that leads to a failure to reject the null...

This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...