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Exposing survivorship bias in mutual fund data
Bu, Qiang; Lacey, Nelson J. - In: The journal of business and economic studies 13 (2007) 1, pp. 22-37
Persistent link: https://www.econbiz.de/10003496983
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On mutual fund terminations, survivorship bias, and the smart money effect
Bu, Qiang - 2006
Persistent link: https://www.econbiz.de/10003966608
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Removing biases in computed returns
Fisher, Lawrence Victor; Weaver, Daniel G.; Webb, … - In: Review of quantitative finance and accounting 35 (2010) 2, pp. 137-161
Persistent link: https://www.econbiz.de/10008990244
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Carbon bias in index investing
Cosemans, Mathijs; Schoenmaker, Dirk - 2022
Persistent link: https://www.econbiz.de/10013469837
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An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets
Seung Oh Nam; SeungYoung Oh; Hyun Kyung Kim; Byung Chun Kim - In: International review of financial analysis 15 (2006) 4/5, pp. 398-414
Persistent link: https://www.econbiz.de/10003377253
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The role of anchoring bias in the equity market : evidence from analysts' earnings forecasts and stock returns
Cen, Ling; Hilary, Gilles; Wei, K. C. John - 2011
Persistent link: https://www.econbiz.de/10009356886
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Removing Biases in Computed Returns
Fisher, Lawrence - 2009
This paper presents a straightforward method for asymptotically removing the well-known upward bias in observed returns … of equally-weighted portfolios. Our method removes all of the bias due to any random transient errors such as bid … return indexes for the NYSE, Amex, and NASDAQ and show that the bias is cumulative. In particular, a NASDAQ index (with a …
Persistent link: https://www.econbiz.de/10013158873
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Equal-weighting and value-weighting : which one is better?
Qin, Nan; Singal, Vijay - In: Review of quantitative finance and accounting 58 (2022) 2, pp. 743-768
Persistent link: https://www.econbiz.de/10012818257
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Tracking Biased Weights : Asset Pricing Implications of Value-Weighted Indexing
Jiang, Hao; Vayanos, Dimitri; Zheng, Lu - 2021
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM,...
Persistent link: https://www.econbiz.de/10013250648
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On the forecastability of financial markets
Zwergel, Bernhard - 2009
Persistent link: https://www.econbiz.de/10009126199