Take Action
Research Details
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, Ravi Jagannathan, Aharon Ofer
Date Published
1986
Citations
Breen, William, Ravi Jagannathan, and Aharon Ofer. 1986. Correcting for Heteroscedasticity in Tests for Market Timing Ability. Journal of Business. 59(4): 585-598.
LINK