CREATES lunch seminar: Niels Strange Hansen

Title: Time-Varying Skills: The role of returns and holdings-based information

Info about event

Time

Tuesday 5 November 2013,  at 12:00 - 12:30

Location

Fuglesangs Allé 4, 8210 Aarhus V, building 2628, room 303

Abstract
We provide a broad comparison of the ability of models of time-varying skill to predict the risk-adjusted performance of U.S. equity mutual funds. We consider both returns-based and holdings-based measures of abnormal performance and propose a uni ed model that accounts for both sources of information, while treating skill as a latent process. We also propose fore- cast combinations as a way to combine holdings- and returns-based information and show that such combinations perform well out-of-sample. Finally, we use a new model con dence set methodology to explore our ability to identify the best-performing funds.

CREATES arranges lunch seminars on a regular basis, normally on Tuesdays. The speakers are usually CREATES members, mostly PhD-students and postdocs. The speakers can also be visiting PhD-students or professors.

Each lunch seminar is followed by a discussion of the paper presented.

Organizers: Anders Bredahl Kock and Cristina Amado.

Place: CREATES meeting room, M303, building 2628 (M)

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