Evaluating the Size of the Bootstrap Method for Fund Performance Evaluation

We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach

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Year of publication:	2017
Authors:	Cheng, Tingting
Other Persons:	Yan, Cheng (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Bootstrap-Verfahren \| Bootstrap approach \| Theorie \| Theory \| Investmentfonds \| Investment Fund \| Performance-Messung \| Performance measurement \| Bewertung \| Evaluation \| Schätzung \| Estimation

Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, 2017 (156), 36-41, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 22, 2017 erstellt
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G23 - Pension Funds; Other Private Financial Institutions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012960435