Lehmann, Bruce and Timmermann, Allan (2007) Performance measurement and evaluation. Financial Markets Group Discussion Papers (604). Financial Markets Group, The London School of Economics and Political Science, London, UK.
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Abstract
We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation of outcomes of empirical tests−between performance measurement and conventional asset pricing models are analyzed. We also discuss how inference on ‘skill’ is affected when fund managers have market timing information. Performance testing based on portfolio weights is also covered as is recent developments in Bayesian models of performance measurement that can accommodate errors in the benchmark asset pricing model.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | https://www.fmg.ac.uk/ |
| Additional Information: | © 2007 The Authors |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | G - Financial Economics > G0 - General > G00 - General |
| Date Deposited: | 16 Jul 2009 14:53 |
| Last Modified: | 11 Dec 2024 18:49 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24505 |
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