Marno Verbeek
Biographic Data
| ID | 8880704 |
|---|---|
| NAME | Marno Verbeek |
| GIVEN NAMES | Marno |
| FAMILY NAME | Verbeek |
| SIGNATURE | VERBEEK M |
| AFFILIATIONS | Tilburg University |
| ORCID | 0000-0002-4079-6774 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Hedge Fund Flows
Hedge fund flows characterize the average opinion of hedge fund investors about managerial skill, expected performance, financial and operational risk. However, liquidity restrictions hamper the ability of investors to rapidly switch from one fund to another. In addition, capacity constraints at the fund or style level may imply that future returns decrease when more money is allocated to a given hedge fund. In this chapter, we provide a detailed…
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…
Estimating and Interpreting Models With Endogenous Treatment Effects
This article examines the relationship between two alternative approaches, instrumental variables and control function procedures, for estimating the impact of endogenous treatment effects. Although it is well known that the two approaches generate comparable estimates, the relationship between the estimators and their accompanying endogeneity tests appears not to be well understood. We show that the two procedures are closely related. We also ex…
Testing for Selectivity Bias in Panel Data Models
Missing observations are a rule rather than an exception in panel data.In this paper we discuss several tests to check for the presence of selectivity bias in regression estimates based on panel data.One approach to test for selectivity bias i n these estimates is to specify the missing data mechanism explicitly and to estimate the response mechanism and the regres-equation jointly.Alternatively, one can derive the asymptotically efficient Lagran…
No prominent works on this page.
Testing for Selectivity Bias in Panel Data Models
Missing observations are a rule rather than an exception in panel data.In this paper we discuss several tests to check for the presence of selectivity bias in regression estimates based on panel data.One approach to test for selectivity bias i n these estimates is to specify the missing data mechanism explicitly and to estimate the response mechanism and the regres-equation jointly.Alternatively, one can derive the asymptotically efficient Lagran…
Estimating and Interpreting Models With Endogenous Treatment Effects
This article examines the relationship between two alternative approaches, instrumental variables and control function procedures, for estimating the impact of endogenous treatment effects. Although it is well known that the two approaches generate comparable estimates, the relationship between the estimators and their accompanying endogeneity tests appears not to be well understood. We show that the two procedures are closely related. We also ex…
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…
Hedge Fund Flows
Hedge fund flows characterize the average opinion of hedge fund investors about managerial skill, expected performance, financial and operational risk. However, liquidity restrictions hamper the ability of investors to rapidly switch from one fund to another. In addition, capacity constraints at the fund or style level may imply that future returns decrease when more money is allocated to a given hedge fund. In this chapter, we provide a detailed…
Econometrics (3 works) · Economics (3 works) · Mathematics (3 works) · Statistics (3 works) · Economic Policies and Impacts (2 works) · Estimation (2 works) · Estimator (2 works) · Finance (2 works) · Financial Markets and Investment Strategies (2 works) · Monetary Policy and Economic Impact (2 works)