The attributes,behavior, and performance of U.S. mutual funds |
| |
Authors: | Gregory Connor Robert A Korajczyk |
| |
Institution: | (1) University College, Dublin and University of California, Berkeley;(2) University of Chicago and Northwestern University, USA |
| |
Abstract: | This article examines the risk and return characteristics of U.S. mutual funds. We employ an equilibrium version of the Arbitrage
Pricing Theory (APT) and a principal-components-based statistical technique to identify performance benchmarks. We also consider
the Capital Asset Pricing Model (CAPM) as an alternative. We implement a procedure for overcoming the rotational indeterminacy
of factor models. This procedure is a hybrid of statistical factor estimation and prespecification of factors. We estimate
measures of timing ability for the CAPM and extend it to the APT. We find that this timing test is misspecified due to noninformation-based
changes in mutual fund betas. We develop a modification of the timing measure that, under certain conditions, distinguishes
true timing ability from noninformation-based beta changes. |
| |
Keywords: | U S mutual funds Arbitrage Pricing Theory Capital Asset Pricing Model rotational indeterminacy |
本文献已被 SpringerLink 等数据库收录! |