Dahlquist, Magnus; Engström, Stefan; Söderlind, Paul - In: Journal of Financial and Quantitative Analysis 35 (2000) 03, pp. 409-423
This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectinal...