haku: @author Verbeek, M. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Horst, J. R. ter Nijman, T. E. Verbeek, M. |
| Otsikko: | Eliminating look-ahead bias in evaluating persistence in mutual fund performance |
| Lehti: | Journal of Empirical Finance
2001 : SEP, VOL. 8:4, p. 345-374 |
| Asiasana: | BIAS EVALUATION UNIT TRUSTS |
| Kieli: | eng |
| Tiivistelmä: | First, the authors model how survival probabilities depend upon historical returns, fund age and aggregate economy- wide shocks, using two samples of US based 'income' and 'growth' funds. Subsequently, the authors employ a Monte Carlo study to analyze the size and shape of the look-ahead bias in performance persistence that arise when a survivorship free sample is used with standard techniques. In particular, the authors show that look-ahead bias induces a spurious U-shaped pattern in performance persistence. Finally, the authors demonstrate how a weighting procedure based upon probit regressions can be used to correct for this bias. |
SCIMA