Improved inference for fund alphas using high-dimensional cross-sectional tests
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DOI: 10.1016/j.jempfin.2020.12.002
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More about this item
Keywords
Alpha; Mutual fund; Hedge fund; Crisis; Arbitrage;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Statistics
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