The Attributes, Behavior, and Performance of U.S. Mutual Funds
作者： Robert A. Korajczyk , Gregory Connor
DOI:
关键词:
摘要: This article examines the risk and return characteristics of U.S. mutual funds. We employ an equilibrium version Arbitrage Pricing Theory (APT) a principal-components-based statistical technique to identify performance benchmarks. also consider Capital Asset Model (CAPM) as alternative. implement procedure for overcoming rotational indeterminacy factor models. is hybrid estimation prespecification factors. estimate measures timing ability CAPM extend it APT. find that this test misspecified due noninformation-based changes in fund betas. develop modification measure that, under certain conditions, distinguishes true from beta changes.
参考文章(24)
Jay Shanken, Multivariate proxies and asset pricing relations Journal of Financial Economics. ,vol. 18, pp. 91- 110 ,(1987) , 10.1016/0304-405X(87)90062-6
Gregory Connor and Robert T. Uhlaner., New Cross-Sectional Regression Tests of Beta Pricing Models Research Papers in Economics. ,(1987)
Richard Roll, AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE The Journal of Finance. ,vol. 33, pp. 1051- 1069 ,(1978) , 10.1111/J.1540-6261.1978.TB02047.X
Marjorie B. McElroy, Edwin Burmeister, Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates Journal of Business & Economic Statistics. ,vol. 6, pp. 29- 42 ,(1988) , 10.1080/07350015.1988.10509634
Stephen A Ross, The arbitrage theory of capital asset pricing Journal of Economic Theory. ,vol. 13, pp. 341- 360 ,(1976) , 10.1016/0022-0531(76)90046-6
Eric C. Chang, Wilbur G. Lewellen, Market Timing and Mutual Fund Investment Performance The Journal of Business. ,vol. 57, pp. 57- 72 ,(1984) , 10.1086/296224
Robert C. Merton, On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts ,(2015)
Bruce N. Lehmann, David M. Modest, The empirical foundations of the arbitrage pricing theory Journal of Financial Economics. ,vol. 21, pp. 213- 254 ,(1988) , 10.1016/0304-405X(88)90061-X
Nai-Fu Chen, Richard Roll, Stephen A. Ross, ECONOMIC FORCES AND THE STOCK MARKET The Journal of Business. ,vol. 59, pp. 383- 403 ,(1986) , 10.1086/296344
Robert C. Merton, Roy D. Henriksson, On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills ,(2015)