Mutual Fund Selection for Realistically Short Samples

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Performance of mutual fund selection methods is typically assessed using long samples (long time series). We investigate how well the methods perform in shorter samples. We carry out an extensive simulation study based on empirically motivated skill distributions. For both short and long samples, we present evidence of large differences in performance between popular fund selection methods. In an empirical analysis, we show that the differences documented by the simulations are empirically relevant.

OriginalsprogEngelsk
TidsskriftJournal of Empirical Finance
Vol/bind55
NummerJanuary
Sider (fra-til)218-240
Antal sider23
ISSN0927-5398
DOI
StatusUdgivet - jan. 2020

Se relationer på Aarhus Universitet Citationsformater

ID: 173643235