Improved inference for fund alphas using high-dimensional cross-sectional tests-Reference-Cited by-同舟云学术

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Improved inference for fund alphas using high-dimensional cross-sectional tests

Published:2021-03 Issue: Volume:61 Page:57-81
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Cheng Tingting,Yan Cheng,Yan Yayi

Funder

Humanities and Social Science Fund of Ministry of Education of China

Fundamental Research Funds for the Central Universities

National Natural Science Foundation of China

Natural Science Foundation of Zhejiang Province

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference62 articles.

1. Smart money, dumb money, and capital market anomalies;Akbas;J. Financ. Econ.,2015

2. Reassessing false discoveries in mutual fund performance: Skill, luck, or lack of power?;Andrikogiannopoulou;J. Finance,2019

3. Testing conditional factor models;Ang;J. Financ. Econ.,2012

4. Who benefits in a crisis? Evidence from hedge fund stock and option holdings;Aragon;J. Financ. Econ.,2019

5. Asset pricing models and financial market anomalies;Avramov;Rev. Financ. Stud.,2006

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2. Exploring the impact of environmental, social, and governance on clean development mechanism implementation through an institutional approach;Frontiers in Psychology;2022-08-25

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