Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Journal Article

On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills

Roy D. Henriksson and Robert C. Merton
The Journal of Business
Vol. 54, No. 4 (Oct., 1981), pp. 513-533
Stable URL: http://www.jstor.org/stable/2352722
Page Count: 21
  • Read Online (Free)
  • Download ($14.00)
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
Preview not available

Abstract

The evaluation of the performance of investment managers is a much studied problem in finance. Based upon the model developed in Part 1 of this paper, the statistical framework is derived for both parametric and nonparametric tests of market-timing ability. If the manager's forecasts are observable, then the nonparametric test can be used without further assumptions about the distribution of security returns. If the manager's forecasts are not observable, then the parametric test can be used under the assumption of either a capital asset pricing model or a multifactor return structure. The tests differ from earlier work because they permit identification and separation of the gains of market-timing skills from the gains of micro stock-selection skills.

Page Thumbnails

  • Thumbnail: Page 
513
    513
  • Thumbnail: Page 
514
    514
  • Thumbnail: Page 
515
    515
  • Thumbnail: Page 
516
    516
  • Thumbnail: Page 
517
    517
  • Thumbnail: Page 
518
    518
  • Thumbnail: Page 
519
    519
  • Thumbnail: Page 
520
    520
  • Thumbnail: Page 
521
    521
  • Thumbnail: Page 
522
    522
  • Thumbnail: Page 
523
    523
  • Thumbnail: Page 
524
    524
  • Thumbnail: Page 
525
    525
  • Thumbnail: Page 
526
    526
  • Thumbnail: Page 
527
    527
  • Thumbnail: Page 
528
    528
  • Thumbnail: Page 
529
    529
  • Thumbnail: Page 
530
    530
  • Thumbnail: Page 
531
    531
  • Thumbnail: Page 
532
    532
  • Thumbnail: Page 
533
    533