Interpretation of alpha

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  • We develop and implement a framework in which prior views and empirical evidence about pricing models and managerial skill can be incorporated formally into the invest- ment decision. Our framework relies on a set of passive indexes or \assets," consisting of nonbenchmark assets as well as the benchmark assets prescribed by a pricing model. A common interpretation of alpha, the intercept in a regression of the fund's excess return on the benchmarks, is that it represents the skill of the fund's manager in selecting mispriced securities.

    pdf35p thangbienthai 22-11-2012 20 4   Download

  • Relatedly, controlling for the forecast error of the change in fiscal policy does not, in our application, provide a way of estimating the causal effect of fiscal policy on growth. Over the two-year intervals that we consider, changes in fiscal policy are unlikely to be orthogonal to economic developments. Thus, the forecast error of fiscal consolidation over our two-year intervals cannot be interpreted as an identified fiscal shock and cannot yield estimates of actual fiscal multipliers. A large literature seeks to identify such exogenous shifts in government spending and revenues.

    pdf48p trinhcaidat 19-04-2013 15 3   Download

  • It is important to explore score reliability in virtually all studies, because tests are not reliable. The present paper explains the most frequently used reliability estimate, coefficient alpha, so that the coefficient's conceptual underpinnings will be understood. Researchers need to understand score reliability because of the possible impact reliability has on the interpretation of research results. There are several common misconceptions about the basic ideas of score reliability.

    pdf17p nguyenminh2301 24-10-2012 17 2   Download

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