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Mutual fund rates of return generating process : a generalized functional form approach

by: Lee, Cheng F; Fabozzi, Frank J. joint author; Francis, Jack Clark, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration

Publication date: 1979

Topics: Mutual funds

Publisher: [Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign

Collection: university_of_illinois_urbana-champaign; americana

Contributor: University of Illinois Urbana-Champaign

Language: English

Volume: BEBR No.552

Includes bibliographical references (p. 19)

"Based upon a generalized rates of return generating process, the correct functional forms of the capital asset pricing model (CAPM) for 85 individual mutual funds are statistically identified. The impacts of the functional form on the estimates of Jensen performance measure, beta coefficient and the unsystematic risk are also explored in detail."

Addeddate: 2011-06-13 13:55:53

Associated-names: Fabozzi, Frank J. joint author; Francis, Jack Clark, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration