Jenke ter Horst
Biographic Data
| ID | 8880703 |
|---|---|
| NAME | Jenke ter Horst |
| GIVEN NAMES | Jenke ter |
| FAMILY NAME | Horst |
| SIGNATURE | TER HORST J |
| AFFILIATIONS | Tilburg University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2000 |
| LATEST PUBLICATION YEAR | 2000 |
| H-INDEX | 0 |
Estimating Short-Run Persistence in Mutual Fund Performance
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show t…
No prominent works on this page.
Estimating Short-Run Persistence in Mutual Fund Performance
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show t…
Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Economics (1 work) · Engineering (1 work) · Estimation (1 work) · Estimator (1 work) · Finance (1 work) · Finance (1 work) · Financial Markets and Investment Strategies (1 work) · Mathematics (1 work)