.png){kind=icon}
返回
Bayesian alphas and mutual fund persistence
.png){kind=icon}
PRE
AI
DOI：10.1111/j.1540-6261.2006.01057.x.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We use daily returns to compare the performance predictability of Bayesian estimates of mutual fund performance with standard frequentist measures. When the returns on passive nonbenchmark assets are correlated with fund holdings, incorporating histories of these returns produces a performance measure that predicts future performance better than standard measures do. Bayesian alphas based on the Capital Asset Pricing Model (CAPM) are particularly useful for predicting future standard CAPM alphas. Over our sample period, priors consistent with moderate to diffuse beliefs in managerial skill dominate more skeptical prior beliefs, a result that is consistent with investor cash flows.
Keyword:
EXPECTED STOCK RETURNS
COSTLY INFORMATION
PERFORMANCE
RISK
MARKET
PORTFOLIOS
EFFICIENCY
INCENTIVES
SELECTION
WINNERS
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
机构
暂无机构信息
引用论文
.png){kind=icon}
分享收藏
分享收藏
查看更多内容