haku: @author Breen, W. / yhteensä: 2
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| Tekijä: | Breen, W. Jagannathan, R. Ofer, A. R. |
| Otsikko: | Correcting for heteroscedasticity in tests for market timing ability. |
| Lehti: | Journal of Business
1986 : OCT, VOL. 59:4, part 1, p. 585-598 |
| Asiasana: | PORTFOLIO MANAGEMENT MULTIPLE REGRESSION ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The parametric test proposed by Hendriksson and Merton for evaluating the market timing ability of portfolio of managers are examined. Although correction for heteroscedasticity may not change the nature of the conclusion in specific samples,the results show that it is important to adjust for heteroscedasticity in the inference procedures used. It is suggested that the correction for heteroscedasticity becomes less important if the return distribution is normal. It is found that the heteroscedasticity corrections suggested by Hansen and by White are particularly effective. |
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