IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v33y1978i2p457-75.html
   My bibliography  Save this item

Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Roger P. Bey, 1983. "The Market Model As An Appropriate Description Of The Stochastic Process Generating Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 275-288, December.
  2. Eduardo Roca & Victor Wong, 2008. "An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 583-597.
  3. Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013. "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper 83500, University Library of Munich, Germany, revised 2013.
  4. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  5. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  6. Chance, Don M. & Hemler, Michael L., 2001. "The performance of professional market timers: daily evidence from executed strategies," Journal of Financial Economics, Elsevier, vol. 62(2), pages 377-411, November.
  7. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
  8. Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014. "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 271-282.
  9. Carl R. Chen & Steve Stockum, 1986. "Selectivity, Market Timing, And Random Beta Behavior Of Mutual Funds: A Generalized Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 87-96, March.
  10. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  11. Rubaj Piotr & Wazna Elzbieta, 2021. "Investment Funds of Emerging Markets as Alternative Forms of Capital Investment in the Conditions of Low Interest Rates," European Research Studies Journal, European Research Studies Journal, vol. 0(2B), pages 290-307.
  12. Joel M. Dickson & John B. Shoven, 1995. "Taxation and Mutual Funds: An Investor Perspective," NBER Chapters, in: Tax Policy and the Economy, Volume 9, pages 151-180, National Bureau of Economic Research, Inc.
  13. Anjum, Sohail & Qayyum, Unbreen & Qureshi, Madeeha Gohar, 2019. "Aggregate performance evaluation of US Equity Mutual Funds - Explaining the performance of Growth Funds vs. Value Funds," MPRA Paper 100043, University Library of Munich, Germany.
  14. Darren D. Lee & Jacquelyn E. Humphrey & Karen L. Benson & Jason Y. K. Ahn, 2010. "Socially responsible investment fund performance: the impact of screening intensity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(2), pages 351-370, June.
  15. Odejar, Maria Ana E & McNulty, Mark S, 2001. "Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, vol. 17(2-3), pages 265-284, June.
  16. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  17. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  18. Dana J. Johnson & Richard E. Bennett & Richard J. Curcio, 1979. "A Note On The Deceptive Nature Of Bayesian Forecasted Betas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 65-69, March.
  19. Romacho, Joao Carlos & Cortez, Maria Ceu, 2006. "Timing and selectivity in Portuguese mutual fund performance," Research in International Business and Finance, Elsevier, vol. 20(3), pages 348-368, September.
  20. Joel M. Dickson & John B. Shoven, 1993. "Ranking Mutual Funds on an After-Tax Basis," NBER Working Papers 4393, National Bureau of Economic Research, Inc.
  21. Ron Bird & Helen Chin & Michael McCrae, 1983. "The Performance of Australian Superannuation Funds," Australian Journal of Management, Australian School of Business, vol. 8(1), pages 49-69, June.
  22. Semushin, Anton & Parshakov, Petr, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 25(1), pages 95-114.
  23. Monika Mościbrodzka, 2021. "Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 517-544.
  24. Mario G. Reyes, 1999. "Size, time‐varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, John Wiley & Sons, vol. 8(1), pages 1-10.
  25. Burnett, John E. & Carroll, Carolyn & Thistle, Paul, 1995. "Implications of multiple structural changes in event studies," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 467-480.
  26. Reyes, Mario G., 1999. "Size, time-varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 1-10, June.
  27. Gendron, Michel, 1987. "Mesures de performance et économie de l’information, une synthèse de la littérature théorique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 169-186, juin et s.
  28. David C. Leonard & Nicholas R. Noble, 1981. "Estimation Of Time—Varying Systematic Risk And Investment Performance: Closed—End Investment Companies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 109-120, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.