A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual Fund Selection
Bibliographic Data
| ID | 19418445 |
|---|---|
| Authors | Long Feng (0000-0002-9623-2345, Nankai University), Binghui Liu (0000-0002-9331-8389, Northeast Normal University, corresponding author), Yanyuan Ma (0000-0001-6985-0351, Department of Statistics, Pennsylvania State University, University Park, PA) |
| Year | 2024 |
| Volume | 42 |
| Issue | 1 |
| Pages | 257-271 |
| Publication date | 2024-01-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2023.2174549 |
| OpenAlex | W4318714211 |
| Language | EN |
| References cited | 32 |
We consider the problem of identifying skilled funds among a large number of candidates under the linear factor pricing models containing both observable and latent market factors. Motivated by the existence of non-strong potential factors and diversity of error distribution types of the linear factor pricing models, we develop a distribution-free multiple testing procedure to solve this problem. The proposed procedure is established based on the statistical tool of symmetrized data aggregation, which makes it robust to the strength of potential factors and distribution type of the error terms. We then establish the asymptotic validity of the proposed procedure in terms of both the false discovery rate and true discovery proportion under some mild regularity conditions. Furthermore, we demonstrate the advantages of the proposed procedure over some existing methods through extensive Monte Carlo experiments. In an empirical application, we illustrate the practical utility of the proposed procedure in the context of selecting skilled funds, which clearly has much more satisfactory performance than its main competitors
Competitor analysis · Econometrics · Economics · Machine learning · Mathematical optimization · Monte Carlo method · Statistics · Computer Science · Consumer Market Behavior and Pricing · Decision-Making and Behavioral Economics · Financial Markets and Investment Strategies · Mathematics
The arbitrage theory of capital asset pricing
Common risk factors in the returns on stocks and bonds
A five-factor asset pricing model
Determining the Number of Factors in Approximate Factor Models
Inferential Theory for Factor Models of Large Dimensions
Controlling the False Discovery Rate
Measurement of factor strength
A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
| Citation velocity | historical |
|---|---|
| Highly cited | No |