This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and...

In this paper we try to develop a theoretical framework for fund rating under the assumption that superior funds could have a higher expected return than that of inferior funds, which could arise from the segmented market information or the differentiated ability of mangers to acquire and...

In sturdy econometrics specification search problems of unit roots and multicollinearity are well documented since the inception of regression analysis. In examining the likely consequences of nonsense relationship Granger and Newbold (1974) make it clear that first differencing is not the...