False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
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منابع مشابه
Internet Appendix to “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas”
We use the bootstrap procedure proposed by Storey (2002) and Storey, Taylor, and Siegmund (2004) to estimate the proportion of zero-alpha funds in the population, 0. This resampling approach chooses from the data such that an estimate of the Mean Squared Error ( ) of b0 ( ) dened as (b0 ( ) 0) is minimized. First, we compute b0 ( ) using equation (5) of the paper across a range of values ( = 0...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2010
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2009.01527.x