Mutual Fund Performance.pdf

31779.pdf
Preview of Mutual Fund Performance
🔗 Source: eprints.bbk.ac.uk
📊 Size: 2.21 MB
📄 Pages: 56 pages
⬇️ Downloads: 124

Summary

Mamatzakis and Tsionas (2020) propose a Bayesian dynamic panel model to assess persistence in US mutual funds' performance, addressing errors in variables and relaxing strong assumptions such as independent error terms across funds. Their model detects significant variability in performance and persistence across fund categories and over time, including during the financial crisis, and exhibits rising stochastic volatility from 2003-2004, potentially acting as an early warning for future crises.

Description

Mamatzakis and Tsionas (2020) propose a Bayesian dynamic panel model to assess persistence in US mutual funds' performance, addressing errors in variables and...

Technical Information

  • File Format: PDF
  • File Size: 2.21 MB
  • Pages: 56
  • Language: EN
  • Total Downloads: 124
  • Last Updated: 1 week ago

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This PDF document about Mutual Fund Performance provides comprehensive information and guidance. Whether you're a beginner or advanced user, this resource offers valuable insights into Mutual Fund Performance.

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