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Title:Mutual fund rates of return generating process : a generalized functional form approach / BEBR No.552
Author(s):Lee, Cheng F.; Fabozzi, Frank J.; Francis, Jack Clark
Contributor(s):University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Subject(s):Mutual funds.
Issue Date:Mar 4 1979
Publisher:[Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,
Series/Report:Faculty working papers ; no. 552
Type:Text
Language:English
Description:Includes bibliographical references (p. 19).
"Based upon a generalized rates of return generating process, the correct functional forms of the capital asset pricing model (CAPM) for 85 individual mutual funds are statistically identified. The impacts of the functional form on the estimates of Jensen performance measure, beta coefficient and the unsystematic risk are also explored in detail."
URI:http://hdl.handle.net/2142/27438
Rights Information:In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact digicc@library.illinois.edu for information.
Copyright Mar 4 1979 Board of Trustees University of Illinois.
Date Available in IDEALS:2011-09-15
Has Version(s):http://hdl.handle.net/10111/UIUCOCA:mutualfundrateso552leec
http://www.archive.org/details/mutualfundrateso552leec
Identifier in Online Catalog:323872
OCLC Identifier:(OCoLC)ocm05132886


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