Stock picking and market timing are two critical skills in fund performance evaluation. Measuring these skills and examining the association often relies on a factor model. When daily returns are employed, heteroscedasticity and heavy tail have to be taken into account. This talk reviews the literature, defines a new nonparametric market timing measure to deal with heavy tails, develops a test for the zero market timing skill, and studies the association between skills.
19 Jun 2023
3:00pm - 4:00pm
Where
Room 4504 (Lifts 25/26)
Speakers/Performers
Prof. Liang PENG
Maurice R. Greenberg School of Risk Science, Georgia State University
Maurice R. Greenberg School of Risk Science, Georgia State University
Organizer(S)
Department of Mathematics
Contact/Enquiries
Payment Details
Audience
Alumni, Faculty and staff, PG students, UG students
Language(s)
English
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