Bootstrap analysis of mutual fund performance

DOI10.1016/J.JECONOM.2022.03.011MaRDI QIDQ6163278zbMATH OpenFDO

Authors Haitao Huang, Lei Jiang, Xuan Leng, Liang Peng

Publication date 9 June 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2022.03.011

zbMATH Keywords

bootstrapEdgeworth expansionHotelling's \(T\)-squared testmutual fund performance

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• Evaluating the size of the bootstrap method for fund performance evaluation
• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• A generalized performance attribution technique for mutual funds
• Capital Allocation Using the Bootstrap
• A robust nonparametric approach to evaluate and explain the performance of mutual funds
• Fundamental analysis, technical analysis, and mutual fund performance

Cites work

• A Reality Check for Data Snooping
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Bootstrapping factor models with cross sectional dependence
• Bootstrapping factor-augmented regression models
• How many good and bad funds are there, really?
• Phase transition and regularized bootstrap in large-scale \(t\)-tests with false discovery rate control
• Power enhancement in high-dimensional cross-sectional tests
• The bootstrap and Edgeworth expansion
• The Model Confidence Set

Cited in

(3)

• TSD-consistent performance assessment of mutual funds
• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Capital Allocation Using the Bootstrap

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