Ferson, W. and V. A. Warther, 1995, "Evaluating Fund Performance in a Dynamic Market", Financial Analysts Journal. 26 Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
On the Timing Ability of Mutual Fund Managers - Bollen, Busse (2000) (Correct)
....there is a wide dispersion of ability over the sample of funds. A conservative interpretation of the results requires the consideration of two potential sources of spurious timing coefficients. One possible source of spurious timing ability is the cash flow hypothesis described in Warther (1995) Ferson and Warther (1996), and Edelen (1999) The hypothesis suggests we might bias timing coefficients downwards, even to negative levels, because when market returns are high, investors increase subscriptions to mutual funds, resulting in a temporarily larger cash position and a lower fund beta. Warther finds a strong ....
Ferson, W. and V. Warther, 1996, Evaluating fund performance in a dynamic market, Financial Analysts Journal 52, 20-28.
On the Timing Ability of Mutual Fund Managers - Bollen, Busse (2000) (Correct)
....is a wide dispersion of ability over the sample of funds. A conservative interpretation of the results requires the consideration of two potential sources of spurious timing coefficients. One possible source of spurious timing ability is the cash flow hypothesis described in Warther (1995) and Ferson and Warther (1996). The hypothesis suggests we might bias timing coefficients downwards, even to negative levels, because when market returns are high, investors increase subscriptions to mutual funds, resulting in a temporarily larger cash position and a lower fund beta. Warther finds a strong relation between a ....
Ferson, W. and V. Warther, 1996, Evaluating fund performance in a dynamic market, Financial Analysts Journal 52, 20-28.
Index Funds and Stock Market Growth - Goetzmann, Massa (1999) (1 citation) (Correct)
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Ferson, W. and V. A. Warther, 1995, "Evaluating Fund Performance in a Dynamic Market", Financial Analysts Journal. 26
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