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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|
|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|
|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."
|Rights Information:||In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact firstname.lastname@example.org for information.
Copyright Mar 4 1979 Board of Trustees University of Illinois.
|Date Available in IDEALS:||2011-09-15|
|Identifier in Online Catalog:||323872|
This item appears in the following Collection(s)
Research publications from the University of Illinois at Urbana-Champaign
Research Publications from UIUC