December 2013
Intermediate to advanced
928 pages
28h 50m
English
book
Emerging Markets and the Global Economy
by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Content preview from Emerging Markets and the Global Economy
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Chapter 1
Robust Measures of Hybrid Emerging Market Mutual Funds Performance
Mohamed A. Ayadi, Department of Finance, Operations, and Information Systems, Goodman School of Business, Brock University, St. Catharines, ON, Canada, E-mail: mayadi@brocku.ca
Abstract
This chapter uses the fundamental asset pricing theorem to derive new conditional stochastic discount factor-based performance measures. The proposed setting is suitable to perform (un)conditional evaluations of fixed-weight and dynamic strategies of hybrid emerging market mutual funds. The empirical framework and the associated performance statistical tests in a GMM framework are also developed and discussed.
Keywords
Risk management; Stochastic discount factor; Emerging markets; ...
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