Bayesian Alphas And Mutual Fund Persistence  

Oleh:

Busse, Jeffrey A. ; Irvine, Paul J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2251-2288.
Topik: Bayesian; comparative studies; rates of return; bayesian analysis; mutual funds; correlation analysis; predictions; CAPM
Fulltext: p 2251.pdf (275.85KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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We use daily returns to compare the performance predictability of bayesian estimates of mutual fund performnce with standard frequentist measures. When the returns on passive non benchmark assets are correlated with fun holdings, incorporating histories of these returns produces a performance measure that predicts future performance better than standard measures do. Bayesian alphas based on the capital asset pricing model (CAPM) are particularly useful for predicting future standard XAPM alphas. Over our sample period, priors consistent with moderate to diffuse beliefs in managerial skill dominate more skeptical prior beliefs, a result that is consistent with investor cash flows.

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