Our paper analyzes the performance of different methods to adjust beta. Specifically, we compare the standard OLS regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the...

The biggest challenge in testing mutual funds for manager skill is the lack of a probability distribution of returns under the null hypothesis of no skill. A methodology based on randomly trading portfolios and non parametric statistical tests is explored, and a test of skill is proposed....

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...

The concept of fund manager herding has been studied in depth, and the most widely used measure applied to this market-wide phenomena is the one incepted in Lakonishok, Shleifer & Vishny (1992), LSV. However, this measure has been much criticized, and its validity is still in doubt. This paper...