Does Mutual Fund Performance Vary over the Business Cycle?
---- Acknowledgements -----
This paper supersedes an earlier paper with the same title, coauthored by Anthony Lynch and Jessica Wachter, that used the same methodology, but a different mutual fund data set. The earlier paper used the Elton-Gruber-Blake mutual fund database, while this paper uses the CRSP mutual fund database. The authors would like to thank Wayne Ferson, Jeff Busse, participants at the 2005 AFA Meeting, seminar participants at NYU, University of Queensland, Queensland University of Technology, Australian Graduate School of Business, Melbourne Business School, University of Piraeus, and University of Toronto for their comments and suggestions on the earlier paper. All remaining errors in this paper are of course the authors' responsibility. Anthony Lynch wrote parts of the earlier paper while visiting the University of Queensland, and so he would like to thank the people there for their hospitality. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.