Generalized Tests of Investment Fund Performance
The paper discusses the use of statistical methods in the comparison of investment fund performance indicators. The analysis is based on the robust statistics proposed by Ledoit and Wolf (2008), for the pairwise comparison of funds and two generalizations for sets of multiple investment funds. The multiple investment fund tests use the Wald and Distance Metric statistics, based on estimation by Generalized Method of Moments using HAC matrices. In order to correct power limitations in the GMM estimation in the case of a large number of moment conditions, the test distributions are obtained through block-bootstrap procedures. We applied the proposed procedures to daily return data for the largest 97 actively managed equity funds in the Brazilian market, covering the period from July 2006 to July 2008. The results indicate that there are no significant differences in the performances of the 97 funds in the sample, both in pairwise and joint comparisons, thus providing what is believed to be the first Brazilian market evidence for the so-called herding hypothesis.
|Date of creation:||22 Mar 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://professores.ibmecrj.br/erg/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ledoit, Oliver & Wolf, Michael, 2008.
"Robust performance hypothesis testing with the Sharpe ratio,"
Journal of Empirical Finance,
Elsevier, vol. 15(5), pages 850-859, December.
- Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers 320, Institute for Empirical Research in Economics - University of Zurich.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008.
"Control of the false discovery rate under dependence using the bootstrap and subsampling,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research,
Springer, vol. 17(3), pages 417-442, November.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers 337, Institute for Empirical Research in Economics - University of Zurich.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 461-471, November.
- Donald W.K. Andrews, 1988.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Cowles Foundation Discussion Papers
877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
- Anatolyev, Stanislav, 2012.
"Inference in regression models with many regressors,"
Journal of Econometrics,
Elsevier, vol. 170(2), pages 368-382.
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, Center for Economic and Financial Research (CEFIR).
- Atsushi Inoue & Mototsugu Shintani, 2001.
"Bootstrapping GMM Estimators for Time Series,"
Vanderbilt University Department of Economics Working Papers
0129, Vanderbilt University Department of Economics, revised Aug 2003.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
- Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-68, November.
When requesting a correction, please mention this item's handle: RePEc:ibr:dpaper:2012-03. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Márcio Laurini)The email address of this maintainer does not seem to be valid anymore. Please ask Márcio Laurini to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.