Cheng, Tingting and Yan, Cheng (2017) Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters, 156. pp. 36-41. DOI https://doi.org/10.1016/j.econlet.2017.03.028
Cheng, Tingting and Yan, Cheng (2017) Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters, 156. pp. 36-41. DOI https://doi.org/10.1016/j.econlet.2017.03.028
Cheng, Tingting and Yan, Cheng (2017) Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters, 156. pp. 36-41. DOI https://doi.org/10.1016/j.econlet.2017.03.028
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Performance evaluation; Bootstrap; Monte Carlo simulation; Unobservable factors |
| Divisions: | Faculty of Social Sciences > Essex Business School |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 02 Jul 2025 08:15 |
| Last Modified: | 02 Jul 2025 08:15 |
| URI: | http://repository.essex.ac.uk/id/eprint/34782 |
Available files
Filename: accepted manuscript.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 4.0