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Data frequency and mutual fund performance measures

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Author Info

  • Semushin, Anton

    ()
    (Perm State University)

  • Parshakov, Petr

    ()
    (National Research University Higher School of Economics)

Abstract

We focus on correlation between the estimates of manager’s skills to invest and the frequency of measurement results obtained by them, which can lead to distortion of investment decisions. We found that estimates of performance measures depend not only on the frequency of observations, but on its relationship with the frequency of the transactions of the fund.

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File URL: http://pe.cemi.rssi.ru/pe_2012_1_95-114.pdf
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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 25 (2012)
Issue (Month): 1 ()
Pages: 95-114

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Handle: RePEc:ris:apltrx:0165

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: market timing; selectivity skills; data frequency;

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References

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  1. Goetzmann, William N. & Ingersoll, Jonathan & Ivković, Zoran, 2000. "Monthly Measurement of Daily Timers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 257-290, September.
  2. Goetzmann, William N & Peles, Nadav, 1997. "Cognitive Dissonance and Mutual Fund Investors," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 20(2), pages 145-58, Summer.
  3. Kon, Stanley J & Jen, Frank C, 1978. "Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression," Journal of Finance, American Finance Association, vol. 33(2), pages 457-75, May.
  4. Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE, . "Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry," Swiss Finance Institute Research Paper Series 09-04, Swiss Finance Institute.
  5. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
  6. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-67, June.
  7. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 399-425, September.
  8. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
  9. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
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