1,899 research outputs found
Finite-sample properties of a two-stage single equation estimator in the SUR model
No full textExact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's unrestricted covariance matrix estimator, to which it reduces in these special cases
The disappearance of style in the US equity market
No full textThis paper investigates the modelling of style returns in the US and the returns to
style "tilts" based on forecasts of enhanced future style returns. We use hidden
Markov model to build our forecasts. Our finding that style returns are less
forecastible in more recent years is consistent with the hypothesis that style returns
are the result of anomalies rather than risk premia. The erosion of anomalous
returns as public awareness of their presence is translated into strategies that
arbitrage away the excess returns seems to be a hypothesis consistent with our
modelling results
New Test Statistics for Market Timing with Application to Emerging markets
No full textWe provide a new framework for identifying timing. Our analysis focuses on the smoothed joint history of the fund with the benchmark. The approach is fully non-parametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test statistic is some rank preserving function of a second order U-process. This empirical process allows us to define a set of statistics for market timing. We state the relevant asymptotic distribution. Some of these statistics are used to study the timing component of emerging markets funds using the dataset of Hwang and Satchell (1999).market timing, emerging markets, U-process, Kendall’s Tau, invariance principle, strong mixing
Are there bubbles in the art market? The detection of bubbles when fair value is unobservable
No full textThe purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices as deviations from fair value. We assess whether it is meaningful to define a fair value of art and conclude that it is very challenging empirically to implement any definition. We then treat fair value as zero in one instance and unobservable in the other case and in both cases provide evidence of bubbles in the art market
A Loss Aversion Performance Measure
No full textThe purpose of this paper is to propose an innovative method of evaluating the performance of active fund managers, by introducing to the field of performance measurement the more appealing loss aversion utility theory. We combine the latter to an already established performance measure developed by Grinblatt and Titman (1989), to construct a new and improved method of performance evaluation and then apply it for two distinct risk preference scenarios. The new methodology is used to evaluate the performance of a sample of UK pension funds over a 10-year period using the Knight, Satchell and Tran (1995) family of distributions for the excess returns. The results vary depending on the assumption of risk preferences: the results obtained in the first scenario are controversial, whereas for the second scenario, the new measure does seem to pick up on the timing skills exhibited by active fund managers and then reward them accordingly.Performance measures, Loss Aversion, Pension funds, KST Family, Active management
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