CORRECTING FOR HETEROSCEDASTICITY IN TESTS FOR MARKET TIMING ABILITY

被引：15

作者：

BREEN, W ^{[1
]}

JAGANNATHAN, R ^{[1
]}

OFER, AR ^{[1
]}

机构：

[1] TEL AVIV UNIV,IL-69978 TEL AVIV,ISRAEL

来源：

JOURNAL OF BUSINESS | 1986年 / 59卷 / 04期

关键词：

D O I：

10.1086/296356

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：585 / 598

页数：14

共 9 条

[1] MARKET TIMING AND MUTUAL FUND INVESTMENT PERFORMANCE [J].

CHANG, EC ;

LEWELLEN, WG .

JOURNAL OF BUSINESS, 1984, 57 (01) :57-72

[2] LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS [J].

HANSEN, LP .

ECONOMETRICA, 1982, 50 (04) :1029-1054

[3] ON MARKET TIMING AND INVESTMENT PERFORMANCE .2. STATISTICAL PROCEDURES FOR EVALUATING FORECASTING SKILLS [J].

HENRIKSSON, RD ;

MERTON, RC .

JOURNAL OF BUSINESS, 1981, 54 (04) :513-533

[4] MARKET TIMING AND MUTUAL FUND PERFORMANCE - AN EMPIRICAL-INVESTIGATION [J].

HENRIKSSON, RD .

JOURNAL OF BUSINESS, 1984, 57 (01) :73-96

[5] ASSESSING THE MARKET TIMING PERFORMANCE OF MANAGED PORTFOLIOS [J].

JAGANNATHAN, R ;

KORAJCZYK, RA .

JOURNAL OF BUSINESS, 1986, 59 (02) :217-235

[6]

Maddala GS., 1977, ECONOMETRICS

[7]

PFLEIDERER P, 1983, 714 STANF U GRAD SCH

[8]

TREYNOR JL, 1966, HARVARD BUS REV, V44, P131

[9] A HETEROSKEDASTICITY-CONSISTENT COVARIANCE-MATRIX ESTIMATOR AND A DIRECT TEST FOR HETEROSKEDASTICITY [J].

WHITE, H .

ECONOMETRICA, 1980, 48 (04) :817-838

← 1 →