Effects of multicollinearity on the definition of mutual funds' strategic style: the Spanish case

Luis Ferruz Agudo and Luis A. Vicente Gimeno

Applied Economics Letters, 2005, vol. 12, issue 9, 553-556

Abstract: This study is an approach to the strategic styles followed by Spanish mutual funds investing in domestic equities. The methodology applied is based on Sharpe's suggested Style Analysis. The study highlights the distortion of results caused by the phenomenon of multicollinearity in the benchmarks proposed.

Date: 2005
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DOI: 10.1080/13504850500120698

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