The hazards of mutual fund underperformance: A Cox regression analysis
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چکیده
منابع مشابه
The hazards of mutual fund underperformance: A Cox regression analysis
This paper investigates the process determining mutual funds’ conditional probability of closure, i.e., their hazard function. Using a nonparametric approach to estimate the effects of a fund’s age on its hazard rate, we find a distinctly non-linear, inverse U-shaped pattern in the relationship. Hence, young and very old funds are least likely to be closed down. A Ž . fund’s relative performanc...
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15 صفحه اولTime-dependent covariates in the Cox proportional-hazards regression model.
The Cox proportional-hazards regression model has achieved widespread use in the analysis of time-to-event data with censoring and covariates. The covariates may change their values over time. This article discusses the use of such time-dependent covariates, which offer additional opportunities but must be used with caution. The interrelationships between the outcome and variable over time can ...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 1999
ISSN: 0927-5398
DOI: 10.1016/s0927-5398(98)00013-9