On luck versus skill when performance benchmarks are style-consistent

Mutual Fund Performance: Luck or Skill?

Should individuals include actively managed mutual funds in their investment portfolios? They should if and only if the result of active management is superior performance due to skill. This paper employs a previously ignored statistical technique to detect whether skill drives the superior performance of some mutual funds. This technique, the generalized binomial distribution, models a sequenc...

The performance of football club managers: skill or luck?

Skill or Luck? Biases of Rational Agents

This paper shows why, in a world with differing priors, rational agents tend to attribute their own success more to skill and their failure more to bad luck than an outsider. It further shows why each agent in a group might think he or she is the best, why an agent might overestimate the control he has over the outcome, and why two agents’ estimated contributions often add up to more than 100%....

Skill, Luck and Hot Hands on the PGA Tour

Skill, Luck, and Streaky Play on the PGA Tour

In this study, we implement a random-effects model that estimates cubic spline-based time-dependent skill functions for 253 active PGA Tour golfers over the 1998–2001 period. Our model controls for the first-order autocorrelation of residual 18-hole scores and adjusts for round–course and player–course random effects. Using the model, we are able to estimate time-varying measures of skill and l...