IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/8a501733-7a06-4399-8a43-0cc39778c945.html
   My bibliography  Save this paper

Evaluating style analysis

Author

Listed:
  • Ter Horst, J.R.

    (Tilburg University, School of Economics and Management)

  • Nijman, T.E.

    (Tilburg University, School of Economics and Management)

  • de Roon, F.A.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 2004. "Evaluating style analysis," Other publications TiSEM 8a501733-7a06-4399-8a43-0, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:8a501733-7a06-4399-8a43-0cc39778c945
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/566374/roon_nyman_horst2003.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:bla:jfinan:v:53:y:1998:i:6:p:1975-1999 is not listed on IDEAS
    2. repec:bla:jfinan:v:55:y:2000:i:4:p:1655-1703 is not listed on IDEAS
    3. Huberman, Gur & Kandel, Shmuel & Stambaugh, Robert F, 1987. "Mimicking Portfolios and Exact Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 42(1), pages 1-9, March.
    4. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
    5. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
    6. Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series qt5h98h28m, Department of Economics, UC San Diego.
    7. Jobson, J D & Korkie, Bob, 1984. "On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 245-251, March.
    8. Russ Wermers, 2000. "Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses," Journal of Finance, American Finance Association, vol. 55(4), pages 1655-1695, August.
    9. Jobson, J. D. & Korkie, Bob, 1989. "A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 185-204, June.
    10. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    11. Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 315-343.
    12. Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
    13. Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998. "Performance analysis of international mutual funds incorporating market frictions," Other publications TiSEM df378e85-9563-4738-b36a-4, Tilburg University, School of Economics and Management.
    14. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
    15. Cumby, Robert E & Glen, Jack D, 1990. "Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    16. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
    17. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-157, April.
    18. Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998. "Performance analysis of international mutual funds incorporating market frictions," Discussion Paper 1998-51, Tilburg University, Center for Economic Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rakowski, David & Shirley, Sara E. & Stark, Jeffrey R., 2017. "Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 91-107.
    2. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
    3. Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2021. "Testing for structural breaks in return-based style regression models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 61-76, March.
    4. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Other publications TiSEM 1ff75080-22db-4909-9f13-a, Tilburg University, School of Economics and Management.
    5. Sandra Cruz Caçador & Pedro Manuel Cortesão Godinho & Joana Maria Pina Cabral Matos Dias, 2022. "A minimax regret portfolio model based on the investor’s utility loss," Operational Research, Springer, vol. 22(1), pages 449-484, March.
    6. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Other publications TiSEM 684d2aba-7b82-4306-b6a0-d, Tilburg University, School of Economics and Management.
    7. Juan Carlos Matallin-Saez, 2011. "On causality in the size-efficiency relationship: the effect of investor cash flows on the mutual fund industry," Applied Economics, Taylor & Francis Journals, vol. 43(27), pages 4069-4079.
    8. Robert Faff & Annette Nguyen & Bonnie H.I. Ip & Philip Gharghori, 2012. "Return-based Style Analysis in Australian Funds," Multinational Finance Journal, Multinational Finance Journal, vol. 16(3-4), pages 155-188, September.
    9. Juan Matallin-Saez, 2007. "Portfolio performance: factors or benchmarks?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(14), pages 1167-1178.
    10. Pizzinga, Adrian & Fernandes, Cristiano, 2006. "State Space Models for Dynamic Style Analysis of Portfolios," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    11. Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
    12. Beck, Thorsten & De Jonghe, Olivier, 2013. "Lending concentration, bank performance and systemic risk : exploring cross-country variation," Policy Research Working Paper Series 6604, The World Bank.
    13. Adrian Pizzinga, 2010. "Constrained Kalman Filtering: Additional Results," International Statistical Review, International Statistical Institute, vol. 78(2), pages 189-208, August.
    14. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
    15. Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
    16. Laura Andreu & Cristina Ortiz & Jose Luis Sarto, 2009. "Herding behaviour in strategic asset allocations: new approaches on quantitative and intertemporal imitation," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1649-1659.
    17. Giuseppe Galloppo & Giovanni Trovato, 2017. "Fundamental driver of fund style drift," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 99-123, March.
    18. Claudio Conversano & Domenico Vistocco, 2010. "Analysis of mutual funds' management styles: a modeling, ranking and visualizing approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(11), pages 1825-1845.
    19. Auer, Benjamin R. & Schuhmacher, Frank & Niemann, Sebastian, 2023. "Cloning mutual fund returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 31-37.
    20. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    21. Francesco Lisi, 2011. "Dicing with the market: randomized procedures for evaluation of mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 163-172.
    22. Andrew Mason & Frank McGroarty & Steve Thomas, 2012. "Style analysis for diversified US equity funds," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 170-185, June.
    23. Lau, Wee Yeap & Chan, Tze-Haw, 2004. "Does Misclassification of Equity Funds Exist? Evidence from Malaysia," MPRA Paper 2029, University Library of Munich, Germany, revised 2005.
    24. Ferruz Agudo, Luis & Vicente Gimeno, Luis A., 2005. "Are Style Factors exclusive, exhaustive and independent in Spanish Domestic Equity Funds?/¿Son los factores de estilo exclusivos, exhaustivos e independientes en los fondos de inversión españoles de r," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 495-506, Agosto.
    25. Beck, Thorsten & De Jonghe, Olivier & Mulier, Klaas, 2017. "Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks," CEPR Discussion Papers 12009, C.E.P.R. Discussion Papers.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004. "Evaluating style analysis," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.
    2. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2000. "Evaluating Style Analysis," ERIM Report Series Research in Management ERS-2000-11-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    3. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Other publications TiSEM 1ff75080-22db-4909-9f13-a, Tilburg University, School of Economics and Management.
    4. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Other publications TiSEM 684d2aba-7b82-4306-b6a0-d, Tilburg University, School of Economics and Management.
    5. Galvani, Valentina & Faychuk, Vita, 2022. "The Mean-Variance Core of Cryptocurrencies: When More is Not Better," Working Papers 2022-4, University of Alberta, Department of Economics.
    6. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
    7. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
    8. Valentina Galvani & Stuart Landon, 2013. "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
    9. Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
    10. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    11. Galvani, Valentina & Plourde, André, 2010. "Portfolio diversification in energy markets," Energy Economics, Elsevier, vol. 32(2), pages 257-268, March.
    12. Galvani, Valentina & Plourde, Andre, 2009. "Spanning with Zero-Price Investment Assets," Working Papers 2009-5, University of Alberta, Department of Economics.
    13. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
    14. Cai, Biqing & Cheng, Tingting & Yan, Cheng, 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 81-106.
    15. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
    16. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
    17. Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, vol. 10(3), pages 142-150.
    18. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
    19. Eliezer Fich & Viktoriya Lantushenko & Clemens Sialm, 2019. "Institutional Trading Around M&A Announcements," NBER Working Papers 25814, National Bureau of Economic Research, Inc.
    20. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:8a501733-7a06-4399-8a43-0cc39778c945. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.