Swinkels, L.A.P.; Sluis, P.J. van der; Verbeek, M.J.C.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2003
We decompose the conditional expected mutual fund return in five parts. Two parts, selectivity and expert market timing, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as well. The dynamic model that we use to estimate the...
