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Correcting for Heteroscedasticity in Tests for Market Timing Ability, Journal of Business

Abstract

In this paper we examine the parametric test proposed by Henriksson and Merton for evaluating the market timing ability of portfolio managers. Using simulation techniques we show that correction for heteroscedasticity can significantly affect the conclusions. We find that the heteroscedasticity corrections suggested by Hansen and by White are particularly effective.

Type

Article

Author(s)

William Breen, William Breen, Ravi Jagannathan, Aharon Ofer, Aharon Ofer

Date Published

1986

Citations

Breen, William, William Breen, Ravi Jagannathan, Aharon Ofer, and Aharon Ofer. 1986. Correcting for Heteroscedasticity in Tests for Market Timing Ability. Journal of Business. 59(4): 585-598.

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