Estimating the dynamics of mutual fund alphas and betas
This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false pos...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7051 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8050/viewcontent/hhm049.pdf |
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| Institution: | Singapore Management University |
| Language: | English |