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Data frequency and mutual fund performance measures
Anton Semushin () and
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Anton Semushin: Perm State University
, 2012, vol. 25, issue 1, pages 95-114
Applied Econometrics Abstract:
We focus on correlation between the estimates of manager’s skills to invest and the frequency of measurement results obtained by them, which can lead to distortion of investment decisions. We found that estimates of performance measures depend not only on the frequency of observations, but on its relationship with the frequency of the transactions of the fund.
Keywords: market timing; selectivity skills; data frequency (search for similar items in EconPapers)
JEL-codes: C22 C53 G11 G17 G23 (search for similar items in EconPapers)
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