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dc.contributor.authorChou, PHen_US
dc.contributor.authorChung, HMen_US
dc.contributor.authorSun, EYen_US
dc.date.accessioned2014-12-08T15:20:15Z-
dc.date.available2014-12-08T15:20:15Z-
dc.date.issued2005-10-20en_US
dc.identifier.issn1350-4851en_US
dc.identifier.urihttp://dx.doi.org/10.1080/13504850500358850en_US
dc.identifier.urihttp://hdl.handle.net/11536/14387-
dc.description.abstractThis paper proposes a new method based on threshold regression to test mutual fund market-timing abilities. The traditional Henriksson and Merton model is shown to represent only a special case within the proposed model. The potential bias of using the traditional model is demonstrated and it is argued that the proposed model provides more accurate inferences on the market-timing effects or mutual funds. The empirical results for a set of randomly-selected US mutual funds indicate the superior performance of the proposed method in detecting the market-timing ability.en_US
dc.language.isoen_USen_US
dc.titleDetecting mutual fund timing ability using the threshold modelen_US
dc.typeArticleen_US
dc.identifier.doi10.1080/13504850500358850en_US
dc.identifier.journalAPPLIED ECONOMICS LETTERSen_US
dc.citation.volume12en_US
dc.citation.issue13en_US
dc.citation.spage829en_US
dc.citation.epage834en_US
dc.contributor.department管理科學系zh_TW
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Management Scienceen_US
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000233431200009-
dc.citation.woscount2-
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