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Friday, April 24, 2020 | History

2 edition of Mutual fund performance with learning across funds found in the catalog.

Mutual fund performance with learning across funds

Christopher S. Jones

Mutual fund performance with learning across funds

  • 275 Want to read
  • 3 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Mutual funds.,
  • Asset allocation.,
  • Investments.

  • Edition Notes

    StatementChristopher S. Jones, Jay Shanken.
    SeriesNBER working paper series -- no. 9392, Working paper series (National Bureau of Economic Research) -- working paper no. 9392.
    ContributionsShanken, Jay., National Bureau of Economic Research.
    The Physical Object
    Pagination46 p. :
    Number of Pages46
    ID Numbers
    Open LibraryOL22446615M


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Mutual fund performance with learning across funds by Christopher S. Jones Download PDF EPUB FB2

The empirical implications of incorporating “learning across funds” are conveyed most dramatically by focusing on the fund with the largest posterior mean alpha. Using returns net of expenses, the maximum is typically between 2% and % with by: Mutual Fund Performance with Learning Across Funds Christopher S.

Jones, Jay Shanken. NBER Working Paper No. Issued in December NBER Program(s):Asset Pricing. This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other by: Get this from a library.

Mutual fund performance with learning across funds. [Christopher S Jones; Jay Shanken; National Bureau of Economic Research.]. Mutual Fund Performance with Learning Across Funds This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds.

performance. Substantial ‘‘learning across funds’’ is documented, with significant effects on investment decisions. In a Bayesian framework, this form of learning is inconsistent with the assumption, made in the past literature, of prior independence across funds. Independence canFile Size: KB. Request PDF | Mutual Fund Performance with Learning Across Funds | The average level and cross-sectional variability of fund alphas are estimated from a large sample of mutual funds.

Mutual Fund Performance with Learning Across Funds. 54 Pages Posted: 6 Jun Christopher S. and Shanken, Jay A., Mutual Fund Performance with Learning Across Funds (December 3, ).

Available at SSRN: The Persistence of Risk-Adjusted Mutual Fund by: Mutual fund performance with learning Mutual fund performance with learning across funds book funds Fisher, Mark & Jensen, Mark J., " Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol.

(1), pages Mark Fisher &. Mutual fund performance with learning across funds. [Christopher S Jones; Jay Shanken; National Bureau of Economic Research.] -- Abstract: This paper is based on the premise that knowledge about the alphas of one set of funds will influence an.

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