Mutual fund selection for realistically short samples

被引：2

作者：

Christiansen, Charlotte ^{[1
,2
]}

Gronborg, Niels S. ^{[1
]}

Nielsen, Ole L. ^{[3
]}

机构：

[1] Aarhus Univ, CREATES, DFI, Dept Econ & Business Econ, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark

[2] Lund Univ, Lund, Sweden

[3] Aarhus Univ, CREATES, Dept Econ & Business Econ, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark

来源：

JOURNAL OF EMPIRICAL FINANCE | 2020年 / 55卷

关键词：

Mutual funds; Fund selection; Simulation; Small sample properties; PERFORMANCE; HETEROSKEDASTICITY; PERSISTENCE; MANAGER; LUCK;

D O I：

10.1016/j.jempfin.2019.12.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

引用

页码：218 / 240

页数：23

共 38 条

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