search query: @author Ferson, W. / total: 5
reference: 3 / 5
| Author: | Ferson, W. Schadt, R. |
| Title: | Measuring fund strategy and performance in changing economic conditions |
| Journal: | Journal of Finance
1996 : JUN, VOL. 51:2, p. 425-462 |
| Index terms: | CHANGE FUNDS STRATEGY |
| Language: | eng |
| Abstract: | The use of predetermined variables to represent public information and time-variation has produced new insights about asset pricing models, but the literature on mutual fund performance has not exploited these insights. This paper advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables. The authors modify several classical performance measures to this end and find that the predetermined variables are both statistically and economically significant. |
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