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- W1963531484 abstract "We provide a useful demonstration that the ex post assessment of portfolio performance by selectivity and timing based on the quadratic and dummy variable regression methods commonly prescribed in standard textbooks in investments can lead to incorrect selectivity inferences. We show that an “insider” who has access to the actual portfolio weights and returns can make correct assessments. Our findings support Jensen's (1972) concern about the appropriateness of the portfolio approach to the measurement of portfolio performance based solely on observed asset returns." @default.
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- W1963531484 date "1997-01-01" @default.
- W1963531484 modified "2023-10-17" @default.
- W1963531484 title "Robustness of selectivity and timing measures of performance based on quadratic and dummy variable regressions" @default.
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- W1963531484 doi "https://doi.org/10.1016/s1057-5219(97)90006-5" @default.
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