Evaluating the size of the bootstrap method for fund performance evaluation

Tingting Cheng and Cheng Yan

Economics Letters, 2017, vol. 156, issue C, 36-41

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 (search for similar items in EconPapers)
JEL-codes: C15 G11 G12 G23 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:156:y:2017:i:c:p:36-41

DOI: 10.1016/j.econlet.2017.03.028

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