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...

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...

Several papers use a fractional specification (net inflow/ assets under management) to infer a convex relation between flow and past performance. However, heterogeneous linear response functions combined with the pooled analysis commonly used in these studies can yield false convexity estimates....

This paper presents a model in which investors cannot remain in the market to trade at all times. As a result, they have an incentive to set up trading firms or financial market intermediaries (FMI's) to take over their portfolio while they engage in other activities. Previous research has...

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...

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...