کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475178 | 929043 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Yet another look at mutual fund tournaments
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We revisit the empirical evidence on the tournament hypothesis for the behavior of mutual fund managers provided by Busse [J. Financ. Quant. Anal. 36 (2001) 53]. First, we give analytical expressions for the biases arising in volatility estimates (based on both daily and monthly data) due to first-order autocorrelation effects in daily fund returns. These calculations show that tests of the tournament hypothesis based on monthly data are more robust to autocorrelation effects than tests based on daily data. Second, to address the impact of cross-correlated fund returns on these tests, we provide explicit conditions under which the tests proposed in the literature have appropriate size properties.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 1, January 2005, Pages 127-137
Journal: Journal of Empirical Finance - Volume 12, Issue 1, January 2005, Pages 127-137
نویسندگان
Alexei Goriaev, Theo E. Nijman, Bas J.M. Werker,