Paul Clarke, Claire Crawford, Fiona Steele, A. Vignoles
We discuss the use of fixed and random effects models in the context of educational research and set out the assumptions behind the two modelling approaches. To illustrate the issues that should be considered when choosing between these approaches, we analyse the determinants of pupil achievement in primary school, using data from the Avon Longitudinal Study of Parents and Children. We conclude that a fixed effects approach will be preferable in scenarios where the primary interest is in policy-relevant inference about the effects of individual characteristics, but the process through which pupils are selected into schools is poorly understood or the data are too limited to adjust for the effects of selection. In this context, the robustness of the fixed effects approach to the random effects assumption is attractive, and educational researchers should consider using it, even if only to assess the robustness of estimates obtained from random effects models. On the other hand, when the selection mechanism is fairly well understood and the researcher has access to rich data, the random effects model should naturally be preferred because it can produce policy-relevant estimates while allowing a wider range of research questions to be addressed. Moreover, random effects estimators of regression coefficients and shrinkage estimators of school effects are more statistically efficient than those for fixed effects.
{"title":"The Choice Between Fixed and Random Effects Models: Some Considerations for Educational Research","authors":"Paul Clarke, Claire Crawford, Fiona Steele, A. Vignoles","doi":"10.2139/ssrn.1700456","DOIUrl":"https://doi.org/10.2139/ssrn.1700456","url":null,"abstract":"We discuss the use of fixed and random effects models in the context of educational research and set out the assumptions behind the two modelling approaches. To illustrate the issues that should be considered when choosing between these approaches, we analyse the determinants of pupil achievement in primary school, using data from the Avon Longitudinal Study of Parents and Children. We conclude that a fixed effects approach will be preferable in scenarios where the primary interest is in policy-relevant inference about the effects of individual characteristics, but the process through which pupils are selected into schools is poorly understood or the data are too limited to adjust for the effects of selection. In this context, the robustness of the fixed effects approach to the random effects assumption is attractive, and educational researchers should consider using it, even if only to assess the robustness of estimates obtained from random effects models. On the other hand, when the selection mechanism is fairly well understood and the researcher has access to rich data, the random effects model should naturally be preferred because it can produce policy-relevant estimates while allowing a wider range of research questions to be addressed. Moreover, random effects estimators of regression coefficients and shrinkage estimators of school effects are more statistically efficient than those for fixed effects.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125040991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Under the label of “the socialist market economy with Chinese characteristics”, the Chinese Government has made a firm commitment to economic reform, though still retaining tight political control. Thus, under conditions of liberal economic systems and autocratic rule, a new capitalist system is emerging in China; its top companies are managed by private entrepreneurs, government bodies or a combination of both.This book, presented in an easily accessible format, fills an important gap in the growing literature on China in the global economy and provides a research reference tool on China's top companies. It offers a comprehensive directory listing of the Top 100 corporations in China, thus enhancing the research potential on China for students, researchers and businesses. As a general reference guide to the Chinese economy, A Guide to the Top 100 Companies in China provides up-to-date and comprehensive coverage of the top Chinese enterprises. Corporations from Hong Kong and Taiwan that conduct significant business in China are also included.
{"title":"A Guide to the Top 100 Companies in China","authors":"I. Alon, Wenxian Zhang","doi":"10.1142/7553","DOIUrl":"https://doi.org/10.1142/7553","url":null,"abstract":"Under the label of “the socialist market economy with Chinese characteristics”, the Chinese Government has made a firm commitment to economic reform, though still retaining tight political control. Thus, under conditions of liberal economic systems and autocratic rule, a new capitalist system is emerging in China; its top companies are managed by private entrepreneurs, government bodies or a combination of both.This book, presented in an easily accessible format, fills an important gap in the growing literature on China in the global economy and provides a research reference tool on China's top companies. It offers a comprehensive directory listing of the Top 100 corporations in China, thus enhancing the research potential on China for students, researchers and businesses. As a general reference guide to the Chinese economy, A Guide to the Top 100 Companies in China provides up-to-date and comprehensive coverage of the top Chinese enterprises. Corporations from Hong Kong and Taiwan that conduct significant business in China are also included.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131419183","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-03-01DOI: 10.7835/JCC-BERJ-2010-0039
R. Ramasami
The purpose of this paper is to elucidate how the Dalenius-Hodges stratification methodology typically used in sampling, when combined with ranking and index standardization procedures, becomes a powerful policy tool for classifying and benchmarking global information society (GIS) phenomena. The Dalenius-Hodges methodology is preferable to other popular benchmarking methodologies; it has an objective criterion in demarcating strata boundaries and a standardized procedure of compiling indexes irrespective of the nature of the variables and is conceptually simple and easy to compute. For studying GIS phenomena, the paper proposes a socio-technology model, focusing on nine basic variables apportioned under information communications technology (ICT) access, diffusion, usage, and skills. The model uses raw data extracted from 154 International Telecommunication Union (ITU) member countries for 2002 and 2007. For each variable, the countries are ranked and classified under the proposed 8-S Framework, with the most advanced group termed Skaters and the least developed group Sleepers; the other categories are Striders, Sprinters, Sliders, Strollers, Shufflers, and Starters, as determined by the index values, which theoretically range from a minimum score of zero to a maximum of 100. In an attempt to understand the performance of various nations in the GIS ladder, Malaysia’s performance received special attention. After enjoying spectacular growth for more than two decades during the preceding agro-industrial era, Malaysia has been losing its economic advantage to a number of newly liberated economies, in particular, in attracting foreign direct investment (FDI). Malaysia was one of the early adopters of Internet technology among developing nations and pioneered the promulgation of a knowledge-based economy to overcome its loss of investment advantage to a number of low-wage countries in Asia. This has become a major policy concern for Malaysia’s economic performance especially in the wake of new investment factors and criteria related to the information age.
{"title":"Benchmarking Malaysia in the Global Information Society: Regressing or Progressing?","authors":"R. Ramasami","doi":"10.7835/JCC-BERJ-2010-0039","DOIUrl":"https://doi.org/10.7835/JCC-BERJ-2010-0039","url":null,"abstract":"The purpose of this paper is to elucidate how the Dalenius-Hodges stratification methodology typically used in sampling, when combined with ranking and index standardization procedures, becomes a powerful policy tool for classifying and benchmarking global information society (GIS) phenomena. The Dalenius-Hodges methodology is preferable to other popular benchmarking methodologies; it has an objective criterion in demarcating strata boundaries and a standardized procedure of compiling indexes irrespective of the nature of the variables and is conceptually simple and easy to compute. For studying GIS phenomena, the paper proposes a socio-technology model, focusing on nine basic variables apportioned under information communications technology (ICT) access, diffusion, usage, and skills. The model uses raw data extracted from 154 International Telecommunication Union (ITU) member countries for 2002 and 2007. For each variable, the countries are ranked and classified under the proposed 8-S Framework, with the most advanced group termed Skaters and the least developed group Sleepers; the other categories are Striders, Sprinters, Sliders, Strollers, Shufflers, and Starters, as determined by the index values, which theoretically range from a minimum score of zero to a maximum of 100. In an attempt to understand the performance of various nations in the GIS ladder, Malaysia’s performance received special attention. After enjoying spectacular growth for more than two decades during the preceding agro-industrial era, Malaysia has been losing its economic advantage to a number of newly liberated economies, in particular, in attracting foreign direct investment (FDI). Malaysia was one of the early adopters of Internet technology among developing nations and pioneered the promulgation of a knowledge-based economy to overcome its loss of investment advantage to a number of low-wage countries in Asia. This has become a major policy concern for Malaysia’s economic performance especially in the wake of new investment factors and criteria related to the information age.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"246 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123281912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Christa Cuchiero, D. Filipović, E. Mayerhofer, J. Teichmann
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
{"title":"Affine Processes on Positive Semidefinite Matrices","authors":"Christa Cuchiero, D. Filipović, E. Mayerhofer, J. Teichmann","doi":"10.1214/10-AAP710","DOIUrl":"https://doi.org/10.1214/10-AAP710","url":null,"abstract":"This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116981222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
As in other societal realms also in research, science, and development governments and parliaments increasingly have to legitimize their actions and want to base their future activities on informed decisions. Consequently, performance measures, benchmarking, comparative analysis, “foresight studies” are increasingly asked for. Ranking, ratings and evaluations are introduced throughout the system supposedly providing on the one hand the requested transparency and at the same time acting as stimuli to improve the performance. However, to date central questions relating to the underlying methodologies and indicators used are unanswered. These questions concern the availability and appropriateness of the data, indicator construction and methodologies on the one hand, tackle issues as how to deal with effects due to disciplinary, sectoral, regional or national differences, and concern the intended and unintended effects of the instruments used. In the contribution these issues are described and discussed in more detail. In Germany so far infrastructural deficiencies e.g. the fragmentation of research groups addressing those issues prevent adequately addressing the open research questions. Behind this background the two most important tasks identified are them the development of a decentralized data collection system enabling standard definitions and the development of a competitive research infrastructure.
{"title":"Research / Science / Development","authors":"Stefan Hornbostel","doi":"10.2139/ssrn.1452750","DOIUrl":"https://doi.org/10.2139/ssrn.1452750","url":null,"abstract":"As in other societal realms also in research, science, and development governments and parliaments increasingly have to legitimize their actions and want to base their future activities on informed decisions. Consequently, performance measures, benchmarking, comparative analysis, “foresight studies” are increasingly asked for. Ranking, ratings and evaluations are introduced throughout the system supposedly providing on the one hand the requested transparency and at the same time acting as stimuli to improve the performance. However, to date central questions relating to the underlying methodologies and indicators used are unanswered. These questions concern the availability and appropriateness of the data, indicator construction and methodologies on the one hand, tackle issues as how to deal with effects due to disciplinary, sectoral, regional or national differences, and concern the intended and unintended effects of the instruments used. In the contribution these issues are described and discussed in more detail. In Germany so far infrastructural deficiencies e.g. the fragmentation of research groups addressing those issues prevent adequately addressing the open research questions. Behind this background the two most important tasks identified are them the development of a decentralized data collection system enabling standard definitions and the development of a competitive research infrastructure.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125127070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The DFG’s (German Research Foundation) strategy for future data research infrastructures should be based on what has been achieved thus far and the lessons that can be learned: First, the focus should be on “providing data” rather than on “sharing data.” Second, projects whose primary purpose is to provide a common good should seek to build research infrastructure. The DFG has powerful means at its disposal for funding outstanding infrastructure projects. It is up to the scientific community to adapt and utilize these funding instruments. Strategic cooperation is required among all the interested parties in the field: cooperation on thematic priorities within the research community; cooperation on options for funding between the research community and funding institutions; cooperation on the division of labour between the funding institutions (including ministries), both on the national and on the international level. The DFG is prepared to play an active role in this cooperation under the leadership of its elected bodies (Fachkollegien and Senat).
{"title":"Developing the Research Infrastructure in the Social Sciences: The Role and Contribution of the German Research Foundation","authors":"Eckard Kaemper, Manfred Niessen","doi":"10.2139/SSRN.1445346","DOIUrl":"https://doi.org/10.2139/SSRN.1445346","url":null,"abstract":"The DFG’s (German Research Foundation) strategy for future data research infrastructures should be based on what has been achieved thus far and the lessons that can be learned: First, the focus should be on “providing data” rather than on “sharing data.” Second, projects whose primary purpose is to provide a common good should seek to build research infrastructure. The DFG has powerful means at its disposal for funding outstanding infrastructure projects. It is up to the scientific community to adapt and utilize these funding instruments. Strategic cooperation is required among all the interested parties in the field: cooperation on thematic priorities within the research community; cooperation on options for funding between the research community and funding institutions; cooperation on the division of labour between the funding institutions (including ministries), both on the national and on the international level. The DFG is prepared to play an active role in this cooperation under the leadership of its elected bodies (Fachkollegien and Senat).","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"13 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120856191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Correspondence analysis has found extensive use in the social and environmental sciences as a method for visualizing the patterns of association in a table of frequencies. Inherent to the method is the expression of the frequencies in each row or each column relative to their respective totals, and it is these sets of relative frequencies (called profiles) that are visualized. This "relativization" of the frequencies makes perfect sense in social science applications where sample sizes vary across different demographic groups, and so the frequencies need to be expressed relative to these different bases in order to make these groups comparable. But in ecological applications sampling is usually performed on equal areas or equal volumes so that the absolute abundances of the different species are of relevance, in which case relativization is optional. In this paper we define the correspondence analysis of raw abundance data and discuss its properties, comparing these with the regular correspondence analysis based on relative abundances.
{"title":"Correspondence Analysis of Raw Data","authors":"M. Greenacre","doi":"10.2139/ssrn.1300338","DOIUrl":"https://doi.org/10.2139/ssrn.1300338","url":null,"abstract":"Correspondence analysis has found extensive use in the social and environmental sciences as a method for visualizing the patterns of association in a table of frequencies. Inherent to the method is the expression of the frequencies in each row or each column relative to their respective totals, and it is these sets of relative frequencies (called profiles) that are visualized. This \"relativization\" of the frequencies makes perfect sense in social science applications where sample sizes vary across different demographic groups, and so the frequencies need to be expressed relative to these different bases in order to make these groups comparable. But in ecological applications sampling is usually performed on equal areas or equal volumes so that the absolute abundances of the different species are of relevance, in which case relativization is optional. In this paper we define the correspondence analysis of raw abundance data and discuss its properties, comparing these with the regular correspondence analysis based on relative abundances.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131309332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
O. Barndorff-Nielsen, Silja Kinnebrock, N. Shephard
We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from probability theory.
{"title":"Measuring Downside Risk - Realised Semivariance","authors":"O. Barndorff-Nielsen, Silja Kinnebrock, N. Shephard","doi":"10.2139/ssrn.1262194","DOIUrl":"https://doi.org/10.2139/ssrn.1262194","url":null,"abstract":"We propose a new measure of risk, based entirely on downwards moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from probability theory.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117250189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Until recently the Consumer Price Index consisted solely of "matched model" component indexes. The latter are constructed by BLS personnel who visit stores and compare prices of goods with the same set of characteristics over successive periods. This procedure is subject to a selection bias. Goods that were not on the shelves in the second period were discarded and hence never contributed price comparisons. The discarded goods were disproportionately goods which were being obsoleted and had falling prices. Pakes (2003) provided an analytic framework for analyzing this selection effect and showed both that it could be partially corrected using a particular hedonic technique and that the correction for his personal computer example was substantial. The BLS staff has recently increased the rate at which they incorporate techniques to correct for selection effects in their component indexes. However recent work shows very little difference between hedonic and matched model indices for non computer components of the CPI. This paper explores why. We look carefully at the data on the component index for TVs and show that differences between the TV and computer markets imply that to obtain an effective selection correction we need to use a more general hedonic procedure than has been used to date. The computer market is special in having well defined cardinal measures of the major product characteristics. In markets where such measures are absent we may need to allow for selection on unmeasured, as well as measured, characteristics. We develop a hedonic selection correction that accounts for unmeasured characteristics, apply it to TVs, and show that it yields a much larger selection correction than the standard hedonic. In particular we find that matched model techniques underestimate the rate of price decline by over 20%.
{"title":"An Experimental Component Index for the CPI: From Annual Computer Data to Monthly Data on Other Goods","authors":"Timothy Erickson, A. Pakes","doi":"10.1257/AER.101.5.1707","DOIUrl":"https://doi.org/10.1257/AER.101.5.1707","url":null,"abstract":"Until recently the Consumer Price Index consisted solely of \"matched model\" component indexes. The latter are constructed by BLS personnel who visit stores and compare prices of goods with the same set of characteristics over successive periods. This procedure is subject to a selection bias. Goods that were not on the shelves in the second period were discarded and hence never contributed price comparisons. The discarded goods were disproportionately goods which were being obsoleted and had falling prices. Pakes (2003) provided an analytic framework for analyzing this selection effect and showed both that it could be partially corrected using a particular hedonic technique and that the correction for his personal computer example was substantial. The BLS staff has recently increased the rate at which they incorporate techniques to correct for selection effects in their component indexes. However recent work shows very little difference between hedonic and matched model indices for non computer components of the CPI. This paper explores why. We look carefully at the data on the component index for TVs and show that differences between the TV and computer markets imply that to obtain an effective selection correction we need to use a more general hedonic procedure than has been used to date. The computer market is special in having well defined cardinal measures of the major product characteristics. In markets where such measures are absent we may need to allow for selection on unmeasured, as well as measured, characteristics. We develop a hedonic selection correction that accounts for unmeasured characteristics, apply it to TVs, and show that it yields a much larger selection correction than the standard hedonic. In particular we find that matched model techniques underestimate the rate of price decline by over 20%.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129689912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence; a manager's alpha in one year is not significantly related to his alpha in the prior year. On the other hand, there is substantial evidence for style persistence; funds that rely on carry, trend or value trading or with a long/short bias toward currency volatility are likely to maintain that style in the following year. In addition, we are able to examine the performance of managers that survive through the entire sample period, versus those that drop out. We find significant differences in both the investment styles of living versus deceased funds, as well as their realized alpha performance measures. We conjecture that both style differences and ineffective market timing, rather than market conditions, have impacted performance outcomes and induced some managers to close their funds.
{"title":"Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers","authors":"Richard M. Levich, M. Pojarliev","doi":"10.2139/ssrn.1267443","DOIUrl":"https://doi.org/10.2139/ssrn.1267443","url":null,"abstract":"We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence; a manager's alpha in one year is not significantly related to his alpha in the prior year. On the other hand, there is substantial evidence for style persistence; funds that rely on carry, trend or value trading or with a long/short bias toward currency volatility are likely to maintain that style in the following year. In addition, we are able to examine the performance of managers that survive through the entire sample period, versus those that drop out. We find significant differences in both the investment styles of living versus deceased funds, as well as their realized alpha performance measures. We conjecture that both style differences and ineffective market timing, rather than market conditions, have impacted performance outcomes and induced some managers to close their funds.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126764537","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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