Data Entry: Please note that the research database will be replaced by UNIverse by the end of October 2023. Please enter your data into the system https://universe-intern.unibas.ch. Thanks

Login for users with Unibas email account...

Login for registered users without Unibas email account...

 
A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors
Discussion paper / Internet publication
 
ID 4266152
Digital Object Identifier DOI 10.2139/ssrn.963568
Author(s) Hoechle, Daniel; Zimmermann, Heinz
Author(s) at UniBasel Hoechle, Daniel
Zimmermann, Heinz
Year 2007
Month and day 02-01
Title A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors
Series title WWZ Discussion Papers
Volume 2007
Number 14
Pages 54
Publisher / Institution WWZ, University of Basel
Keywords Performance measurement, Robust statistical inference, Cross-sectional dependence
Abstract We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors.
edoc-URL https://edoc.unibas.ch/61238/
Full Text on edoc Available
 
   

MCSS v5.8 PRO. 0.313 sec, queries - 0.000 sec ©Universität Basel  |  Impressum   |    
28/03/2024