Chou, Ping-Huang; Chung, Huimin; Sun, Erh-Yin - In: Applied Economics Letters 12 (2005) 13, pp. 829-834
This paper proposes a new method based on threshold regression to test mutual fund market-timing abilities. The traditional Henriksson and Merton model is shown to represent only a special case within the proposed model. The potential bias of using the traditional model is demonstrated and it is...
