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- W3124127921 abstract "The paper discusses the use of statistical methods in the comparison of investment fund performance indicators. The analysis is based on the robust statistics proposed by Ledoit and Wolf (2008), for the pairwise comparison of funds and two generalizations for sets of multiple investment funds. The multiple investment fund tests use the Wald and Distance Metric statistics, based on estimation by Generalized Method of Moments using HAC matrices. In order to correct power limitations in the GMM estimation in the case of a large number of moment conditions, the test distributions are obtained through block-bootstrap procedures. We applied the proposed procedures to daily return data for the largest 97 actively managed equity funds in the Brazilian market, covering the period from July 2006 to July 2008. The results indicate that there are no significant differences in the performances of the 97 funds in the sample, both in pairwise and joint comparisons, thus providing what is believed to be the first Brazilian market evidence for the so-called herding hypothesis." @default.
- W3124127921 created "2021-02-01" @default.
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- W3124127921 date "2012-03-22" @default.
- W3124127921 modified "2023-09-27" @default.
- W3124127921 title "Generalized Tests of Investment Fund Performance" @default.
- W3124127921 hasPublicationYear "2012" @default.
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