This paper proposes a simple back testing procedure that is shown to dramatically improve a panel data model's ability to produce out of sample forecasts. Here the procedure is used to forecast mutual fund alphas. Using monthly data with an OLS model it has been difficult to consistently predict...

Consider an economy in which the underlying security returns follow a linear factor model with constant coeffcients. While portfolios that invest in these securities willin general, have a linear factor structure, it will be one with time-varying coeffcients. However, under certain assumptions...

This paper proposes a simple back testing procedure that is shown to dramatically improve a panel data model's ability to produce out of sample forecasts. Here the procedure is used to forecast mutual fund alphas. Using monthly data with an OLS model it has been difficult to consistently predict...

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false...

Recently, in both marketing theory (academia) and practice (industry), the emphasis in relationship marketing has shifted to long term customer relationship management emphasizing customer retention or loyalty. This study has two main purposes: (1) to investigate the impacts of selected...

To examine the impact of trade barrier reductions on the Chinese economy following its WTO accession, a single-country, static CGE (Computable General Equilibrium) model is constructed, which incorporates certain elements of imperfect competition in China's current economic situation. China's...

An alternative heuristic method for scheduling repetitive projects in which resources are limited and activities may be executed with multiple modes of resource demands associated with different durations is proposed. Unlike general heuristic methods that separately analyze each competing...

This paper proposes a simple back testing procedure that is shown to dramatically improve a panel data model's ability to produce out of sample forecasts. Here the procedure is used to forecast mutual fund alphas. Using monthly data with an OLS model it has been difficult to consistently predict...

With the advance of urbanization process and rapid growth of urban population, the construction land scale in Dianchi Lake basin increases at a sharp speed. Due to lack of reasonable scale control and space optimization, many areas have the problem of blind growth in construction land. On the...

Illumination factors can affect growth of microalgae and HCO3− fixation. In order to optimize microalgae growth in culture system and HCO3− fixation from wastewater, the effects of light source, light interval on the growth of microalgae, Chlorella sp. and Scenedesmus obliquus sp., were...