We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...

We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...

The dependence between asset returns varies. Its strength can become stronger or weaker. Also, its structure can change, for example, when asymmetries related to bull and bear markets become more or less pronounced. To analyze these di erent types of variations, we develop a model that...