This paper investigates the existence of herding behavior in the Chinese mutual fund market from a time-varying perspective. We examine the relationship between the dispersion of fund returns and the fund market returns using a Markov regime switching approach, and explore the driving factors of...

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

We question the appropriateness of using time-invariant indices as benchmarks and propose a regime-switching methodology to identify the time-varying de facto benchmarks from a pool of the market-based indices, with or without a risk-free asset. We highlight the benchmark mismatch phenomenon and...

The traditional fund-by-fund performance evaluation method suffers from various econometric problems such as multiple hypothesis testing, time-varying coefficients, cross-sectional dependence, etc. To overcome these problems, we tailor three high-dimensional cross-sectional tests to empirically...