Download This PaperEvaluating the Size of the Bootstrap Method for Fund Performance Evaluation
12 Pages Posted: 25 Mar 2017 Last revised: 14 Sep 2017
Date Written: March 22, 2017
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.
Keywords: Performance evaluation, Bootstrap, Monte Carlo simulation, Unobservable factors
JEL Classification: C15, G11, G12, G23
Suggested Citation: Suggested Citation
Cheng, Tingting and Yan, Cheng, Evaluating the Size of the Bootstrap Method for Fund Performance Evaluation (March 22, 2017). Economics Letters, 2017 (156), 36-41, 2017, Available at SSRN: https://ssrn.com/abstract=2939315
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