Return-based Style Analysis with Time-varying Exposures
This paper focuses on the estimation of mutual fund styles by return-based style analysis. Usually, the investment style is assumed to be either constant through time, or time variation is implicitly accounted for by using rolling regressions. The former assumption is often contradicted by data analysis, and the latter is inefficient due to its ad hoc chosen window size. We propose to use the Kalman filter to explicitly model time-varying exposures of mutual funds. This leads to a testable model and more efficient use of the data, which reduces the influence of spurious correlation between mutual fund returns and style indices.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||01 Apr 2001|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html|
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.:
- de Roon, Frans & Nijman, Theo E & ter Horst, Jenke, 2002.
"Evaluating Style Analysis,"
CEPR Discussion Papers
3181, C.E.P.R. Discussion Papers.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, May.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000.
"Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights,"
University of California at San Diego, Economics Working Paper Series
qt5h98h28m, Department of Economics, UC San Diego.
- Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 315-343.
- Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 2004. "Evaluating style analysis," Other publications TiSEM 8a501733-7a06-4399-8a43-0, Tilburg University, School of Economics and Management.
- Lakonishok, Josef, et al, 1991.
"Window Dressing by Pension Fund Managers,"
American Economic Review,
American Economic Association, vol. 81(2), pages 227-31, May.
- Huberman, Gur, 2001. "Familiarity Breeds Investment," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 659-80.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Economics Series Working Papers
1998-W06, University of Oxford, Department of Economics.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Kenneth R. French & James M. Poterba, 1991.
"Investor Diversification and International Equity Markets,"
NBER Working Papers
3609, National Bureau of Economic Research, Inc.
- French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
- Alexander, Gordon J. & Benson, P. George & Eger, Carol E., 1982. "Timing Decisions and the Behavior of Mutual Fund Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(04), pages 579-602, November.
- Fisher, Lawrence & Kamin, Jules H., 1985. "Forecasting Systematic Risk: Estimates of “Raw” Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 127-149, June.
- Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
When requesting a correction, please mention this item's handle: RePEc:sce:scecf1:125. 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.