HIGHLIGHTS
- who: Classification C et al. from the (UNIVERSITY) have published the research: Do Actively Managed US Mutual Funds Produce Positive Alpha?, in the Journal: (JOURNAL)
- what: Using the false discovery technique the authors show that the existing literature which is based upon unconditional versions of these models have underestimated performance of actively managed the authors funds because they produce inconsistent estimates of fund coefficients. To overcome these two issues, the authors propose a non-linear model with time varying parameters that is based on structural breaks in all or some of the parameters. This should . . .
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