PUBLICACIONES

Portfolio performance under reference-day risk

ISI: Portfolio performance under reference-day risk

MARCELO GONZALEZ A., ARTURO RODRIGUEZ P., ROBERTO STEIN B.

2017 - Investment Analysts Journal - Volumen 46, Issue 1. Pp 32 - 43

Abstract

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze the effect of reference-day risk on regression alphas, a metric that is widely used to measure fund performance. The results follow the trend observed for other financial asset statistics: for a large proportion of funds that show significant alphas, significance depends only on the reference day used as a basis for the estimation of the returns. This finding casts doubt on all inferences previously obtained using this measurement. Further tests show that the variability of the alpha and its significance does not appear to have a systematic pattern and is not related to fund characteristics. Methodologies tested that may diminish the problem, which include the use of factor models and robust regression using Student-t distributed errors, do not yield encouraging results. 

Keywords

Estimation risk, reference-day risk, mutual funds, performance, alpha

¿Quieres seguir leyendo? [Accede a la publicación completa]

Profesora Soledad Etchebarne recibe Reconocimiento ASFAE 2017

La Asociación Nacional de Directivos Superiores de Facultades de Administración, Negocios o Empresariales de Chile (ASFAE), otorgo el Reconocimiento ASFAE 2017 a la profesora Soledad ...

Sobre las aplicaciones de Inteligencia Artificial en los Negocios

En el mundo de la Big Data y la transformación digital, cada vez es mayor el número de empresas que busca en la Ciencia de Datos soluciones y herramientas para mantener y generar vent...

Todos los Derechos © 2014 | Departamento de Administración - Facultad de Economía y Negocios - Universidad de Chile - Diagonal Paraguay 257, torre 26, oficina 1101, piso 11, Santiago, Chile.