haku: @author Zhang, H. / yhteensä: 15
viite: 4 / 15
| Tekijä: | Mamaysky, H. Spiegel, M. Zhang, H. |
| Otsikko: | Improved forecasting of mutual fund alphas and betas |
| Lehti: | Review of finance
2007 : SEP, VOL. 11:3, p. 359-400 |
| Asiasana: | finance portfolio management funds rate of return statistics models |
| Kieli: | eng |
| Tiivistelmä: | A simple back testing procedure is proposed shown to improve a panel data model's ability to produce out of sample forecasts. Here the procedure is used to forecast mutual fund alphas. Among others, empirical evidence is provided that sorting on the estimated alphas populates the top and bottom deciles not with the best and worst funds etc. This paper shows that the combined use of an ordinary least squares (OLS) and Kalman filter models increases the number of funds with predictable out of sample alphas by about 60 percent etc. |
SCIMA