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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
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 for information.
Copyright Mar 4 1979 Board of Trustees University of Illinois.
Date Available in IDEALS:2011-09-15
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Identifier in Online Catalog:323872
OCLC Identifier:(OCoLC)ocm05132886

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