haku: @author Admati, A. R. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Admati, A. R. |
| Otsikko: | On timing and selectivity. |
| Lehti: | Journal of Finance
1986 : JUL, VOL. 41:3, p. 715-732 |
| Asiasana: | INVESTMENT ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The conceptual and the econometric problems associated with defining and measuring timing and selectivity is discussed. In defining these notions their intuitive interpretation is attempted to capture. Two basic modelling approaches are offered. They are termed the portfolio approach and the factor approach. It is shown how the quality of timing and selectivity can be identified statistically in a number of simple models, and some of the econometric issues associated with these models are discussed. In particular, a simple quadratic regression is shown to be valid in measuring timing information. |
SCIMA