Detection of Multiple Beta Shifts in Mutual Fund Returns Data
DOI:
https://doi.org/10.58886/jfi.v6i2.2397Abstract
Research suggests that mutual fund betas are not stationary. However, the performance of the nonstationarity tests has been called into question. This study examines the ability of four such tests. None of the tests shows good ability to detect sudden 25 percent beta shifts, and two of the tests have inflated, one of them grossly inflated, Type I error rates.
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Published
2008-12-31
How to Cite
Howe, Thomas, and Ralph Pope. 2008. “Detection of Multiple Beta Shifts in Mutual Fund Returns Data”. Journal of Finance Issues 6 (2):196-211. https://doi.org/10.58886/jfi.v6i2.2397.
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Original Article