Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Financial frictions (3)
- Asymmetric information (2)
- Excess sensitivity (2)
- Gravity (2)
- History (2)
-
- Poverty (2)
- Rational expectations (2)
- Realized volatility (2)
- Small-area estimation (2)
- Static expectations (2)
- AIC (1)
- Adaptive estimation (1)
- Additive nonparametric regression; Instrumental variables; Local polynomial regression; Structural models (1)
- Advertising (1)
- Aggregation (1)
- Agrarian capitalism (1)
- Agribusiness (1)
- Agriculture and state (1)
- Amplification (1)
- Asia (1)
- Asset price overshooting (1)
- Asymmetric timeliness (1)
- Asymptotic expansion (1)
- Autoregression (1)
- Bandwidth choice (1)
- Bargaining (1)
- Bias reduction (1)
- Bilateral Trade Flows (1)
- Binary response (1)
- Borrowing constraints (1)
- Publication
Articles 61 - 62 of 62
Full-Text Articles in Social and Behavioral Sciences
Tobacco Control And The Role Of Litigation: A Survey Of Issues In Law, Policy, And Economics, Basil C. Bitas, Pedro B. Barros
Tobacco Control And The Role Of Litigation: A Survey Of Issues In Law, Policy, And Economics, Basil C. Bitas, Pedro B. Barros
Research Collection Yong Pung How School Of Law
No abstract provided.
Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang
Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang
Research Collection Lee Kong Chian School Of Business
This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false positives (nonzero alphas) at too high a rate with either daily or monthly data. In contrast, the Kalman filter model produces them at approximately the correct rate with monthly data; (ii) In monthly data, though the OLS models fail to detect any timing among fund managers, the Kalman filter does; (iii) The alpha and …