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A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors

  • Daniel Hoechle

    ()

  • Heinz Zimmermann

    ()

    (University of Basel)

Registered author(s):

    We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors.

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    Paper provided by Faculty of Business and Economics - University of Basel in its series Working papers with number 2007/14.

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    Date of creation: 2007
    Date of revision:
    Handle: RePEc:bsl:wpaper:2007/14
    Contact details of provider: Postal: Peter-Merian-Weg 6, Postfach, CH-4002 Basel
    Web page: http://wwz.unibas.ch

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    1. Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999. "Performance and Characteristics of Swedish Mutual Funds," SSE/EFI Working Paper Series in Economics and Finance 312, Stockholm School of Economics, revised 25 Nov 1999.
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