TY - JOUR
AU - SCHADT, RUDI W.
AB - ABSTRACT The use of predetermined variables to represent public information and time‐variation has produced new insights about asset pricing models, but the literature on mutual fund performance has not exploited these insights. This paper advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables. We modify several classical performance measures to this end and find that the predetermined variables are both statistically and economically significant. Conditioning on public information controls for biases in traditional market timing models and makes the average performance of the mutual funds in our sample look better.
TI - Measuring Fund Strategy and Performance in Changing Economic Conditions
JF - The Journal of Finance
DO - 10.1111/j.1540-6261.1996.tb02690.x
DA - 1996-06-01
UR - https://www.deepdyve.com/lp/wiley/measuring-fund-strategy-and-performance-in-changing-economic-6D5RlXD0DM
SP - 425
EP - 461
VL - 51
IS - 2
DP - DeepDyve
ER -