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Evaluating the size of the bootstrap method for fund performance evaluation

Cheng, T.; Yan, C.

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Authors

T. Cheng

C. Yan



Abstract

We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach.

Citation

Cheng, T., & Yan, C. (2017). Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters, 156, 36-41. https://doi.org/10.1016/j.econlet.2017.03.028

Journal Article Type Article
Acceptance Date Mar 23, 2017
Online Publication Date Mar 31, 2017
Publication Date Jul 1, 2017
Deposit Date Mar 22, 2017
Publicly Available Date Mar 28, 2024
Journal Economics Letters
Print ISSN 0165-1765
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 156
Pages 36-41
DOI https://doi.org/10.1016/j.econlet.2017.03.028
Public URL https://durham-repository.worktribe.com/output/1382311

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