Bootstrap analysis of mutual fund performance

DOI10.1016/j.jeconom.2022.03.011MaRDI QIDQ6163278

Liang Peng, Xuan Leng, Lei Jiang, Haitao Huang

Publication date: 9 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

bootstrapEdgeworth expansionmutual fund performanceHotelling's \(T\)-squared test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The Model Confidence Set
• Phase transition and regularized bootstrap in large-scale \(t\)-tests with false discovery rate control
• Bootstrapping factor models with cross sectional dependence
• Bootstrapping factor-augmented regression models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Reality Check for Data Snooping
• Power Enhancement in High-Dimensional Cross-Sectional Tests
• How Many Good and Bad Funds are There, Really?
• The bootstrap and Edgeworth expansion

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