Does the delisting bias really explain the size effect?
We develop a new approach for estimating mutual fund performance that controls for both factor model betas and stock characteristics in one measure. Our double adjustment procedure shows that fund returns are significantly related to stock characteristics in the cross section after controlling for r...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4497 |
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| Institution: | Singapore Management University |
| Language: | English |
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