Estimating the Dynamics of Mutual Fund Alphas and Betas

By Harry Mamaysky, Matthew I. Spiegel, H. Zhang. 2008

222 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/920536aad41410197213da289eade14219e0f017

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Citations in the corpus

Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, methodology): “…the results survive if we change the cutoff levels for the inclusion in the SP 10See Koijen (2010) for a detailed exploration of this argument, as well as earlier versions of this argument in Ferson and Schadt (1996), Ferson and Harvey (1999), and Mamaysky, Spiegel, and Zhang (2008). portfolio.”
Measuring skill in the mutual fund industry (2015, background): “…Zheng (1999) and Bollen and Busse (2001)) have documented that performance is largely unpredictable.2 2Some evidence of persistence does exist in low liquidity sectors or at shorter horizons, see, for example, Bollen and Busse (2005), Mamaysky, Spiegel, and Zhang (2008) or Berk and Tonks (2007).”
Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking? (2009, unknown): “Mamaysky et al. (2005) show that the combined use of an ordinary least square (OLS) and Kalman filter model increases the number of funds with predictable out-of-sample alphas by”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, unknown): “variable is the firm’s book-to-market ratio (BM), a common proxy for growth options in the finance literature [see Smith and Watts (1992) among others].”
Strategic Flexibility and the Optimality of Pay for Sector Performance (2010, background): “[21] Mamaysky, Harry, Matthew Spiegel, and Hong Zhang, 2008, “Estimating the Dynamics of Mutual Fund Alphas and Betas,” Review of Financial Studies 21, 233-264.”
From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks (2013, unknown): “Empirical applications of the Kalman filter in multi-factor performance models can be found, amongst others, in Swinkels and van der Sluis (2006), Mamaysky et al. (2008) and Bauer et al. (2009) .”
Improved Forecasting of Mutual Fund Alphas and Betas (2007, methodology): “On the other hand, if such skills do exist but are somehow bid away when discovered then this offers support for the Berk and Green (2004) hypothesis regarding fund returns in an efficient competitive environment.5 Overall, this paper’s findings offers support for at least part of their thesis; 2See”
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, unknown): “However, recent studies like Mamaysky, Spiegel, and Zhang (2005), Cohen, Coval, and Pastor (2005), and KTWW show that more sophisticated econometric methods allow one to pick out funds whose returns cannot be explained by four-factor covariation or expense ratios.”