Data frequency and mutual fund performance measures

We focus on correlation between the estimates of manager’s skills to invest and the frequency of measurement results obtained by them, which can lead to distortion of investment decisions. We found that estimates of performance measures depend not only on the frequency of observations, but on its relationship with the frequency of the transactions of the fund.

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Year of publication:	2012
Authors:	Parshakov, Petr ; Semushin, Anton
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 25.2012, 1, p. 95-114
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	market timing \| selectivity skills \| data frequency

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; G23 - Pension Funds; Other Private Financial Institutions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009652146