Double Adjusted Mutual Fund Performance
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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4498 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5497/viewcontent/YUEHUATANG.pdf |
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| Institution: | Singapore Management University |
| Language: | English |