Estimating the dynamics of mutual fund alphas and betas

• Main Authors: MAMAYSKY, Harry, SPIEGEL, Matthew, ZHANG, Hong
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/7051; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8050/viewcontent/hhm049.pdf
• 機構: Singapore Management University

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...