mutual fund misclassification evidence based on style analysis an iterative application of william sharpe s method of style analysis is applied to the classification of equity mutual funds a new methodology for creating purified mutual fund style indexes is used to verify existing classifications results suggest that 9 percent of all equity funds are seriously misclassified and another 31 percent are somewhat misclassified two factors emerge as the most likely reasons for misclassification 1 the ambiguity of the current classification system and 2 competitive pressures in the mutual fund industry and compensation structures that reward relative performance monte carlo simulations on out of sample data show that this misclassification has a significant effect on investors ability to build diversified portfolios of mutual funds

mutual fund performance an analysis of quarterly portfolio holdings this article employs the 1975 84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns this sample which is not subject to survivorship bias is used in conjunction with a sample that contains the actual net returns of the mutual funds in addition to allowing the authors to estimate the bias in measured performance that is due to the survival requirement and to estimate total transaction costs the sample is used to test for the existence of abnormal performance the tests indicate that the risk adjusted gross returns of some funds were significantly positive copyright 1989 by the university of chicago

predictable and profitable price patterns evidence from us interest rates abstract this paper detects a predictable response of short term eurodollar interest rate futures to us employment data during 1988 1993 a simulation with a trading rule derived from this predictable response generates systematic profits thus violating the efficient markets hypothesis

bargain hunting or star gazing investors preferences for stock mutual funds investors who wish to purchase shares in mutual funds balance many types of information from a variety of sources when making their fund selection this research examines how investors choose a mutual fund within a given class of funds among the major findings are that investors pay a great deal of attention to past performance and vastly overweight loads relative to expense ratios when evaluating a fund s overall fee structure i also find that investors with a greater knowledge of basic finance are less likely not more likely to make reasonable fund choices

return smoothing liquidity costs and investor flows evidence from a separate account platform we use a new hedge fund data set from a separate account platform to examine 1 how much of hedge fund return smoothing is due to main fund specific factors such as managerial reporting discretion and 2 the costs of removing hedge fund share restrictions these accounts trade pari passu with matching hedge funds but feature third party reporting and permissive share restrictions we use these properties to estimate that 33 of reported smoothing is due to managerial reporting methods the platform s fund level liquidity is associated with a 1 7 performance reduction on an annual basis investor flows chase monthly past performance on the platform but not in the associated funds this paper was accepted by neng wang finance

a flow based explanation for return predictability this paper proposes and tests an investment ow based explanation for three empirical ndings on return predictability the persistence of mutual fund performance the smart

smart fund managers stupid money we develop a model of mutual fund manager investment decisions near the end of quarters we show that when investors reward better performing funds with higher cash flows near quarter ends a mutual fund manager has an incentive to distort new invest ment toward stocks in which his fund holds a large existing position the short term price impact of these trades increase the fund s reported returns higher returns are rewarded by greater subsequent fund inflows which in turn allow for more investment distortion the next quarter because the price impact of trades is short term each subsequent quar ter begins with a larger return deficit eventually the deficit cannot be overcome thus our model leads to the empirically observed short run persistence and long run rever sal in fund performance in doing so our model provides a consistent explanation of many other seemingly contradictory empirical features of mutual fund performance jel classification d82 g2 g14

the lure of illusory luck how much are people willing to pay for random shocks abstract we investigate whether people are influenced to make investment decisions based on random shock signals and to what extent they do so by exploiting a unique data set from a popular chinese lottery game with over one million observations we first present evidence that people as individual investors in the field not only systematically commit the hot hand fallacy in chasing the winners who happen to pick the lucky numbers in the latest round of the lottery game but are also willing to bear a cost in doing so although winning the lottery is merely a random shock we then propose a simple model to account for the observed market behaviors we further estimate the lottery players willingness to pay for the random shock signals and find that the market value of such illusion is significantly high

mean variance theory in complete markets two paradigms in the pricing of risky assets are the complete markets model of arrow and debreu and mean variance pricing as embodied in the capital asset pricing model capm the former is primarily of theoretical interest in fact prior to the recent work of banz and miller 1978 and breeden and litzenberger 1978 there was little thought or hope of practical applications on the other hand the hegemony of the capm is due mostly to its apparent ease of applicability and to a lesser extent its empirical justification in a competitive market with no taxes transactions costs or institutional constraints on portfolio holdings the allocation of the available assets will be pareto optimal the end of period distribution of wealth or the consumption goods however will typically be pareto optimal only when there is available an arrow debreu security for each contingency since by definition a pareto superior reallocation is weakly preferred by all investors a complete set of arrow debreu markets should naturally arise provided they are not too costly to establish the complete markets model of arrow and debreu and the meanvariance capital asset pricing model capm are two paradigms of risky asset markets this paper provides an integration of these two theories we prove that the standard meanvariance separation theorem obtains in a complete market only if all investors have quadratic utility in addition the familiar capm pricing relation can hold for all assets in a complete market only if arbitrage opportunities exist on the positive side we show that the validity of this relation for the primary assets in a complete market is unaffected by the distribution of returns on the created financial assets

costly search and mutual fund flows this paper studies the flows of funds into and out of equity mutual funds consumers base their fund purchase decisions on prior performance information but do so asymmetrically investing disproportionately more in funds that performed very well the prior period search costs seem to be an important determinant of fund flows high performance appears to be most salient for funds that exert higher marketing effort as measured by higher fees flows are directly related to the size of the fund s complex as well as the current media attention received by the fund which lower consumers search costs

the effect of taxes on the relative valuation of dividends and capital gains evidence from dual class british investment trusts we provide evidence that taxes affect equity valuation by studying british investment trusts having otherwise identical classes of cash and stock dividend paying shares outstanding we study 1969 1982 a period in which there were two dramatic changes in tax policy we find that stock dividend shares which are convertible into cash dividend shares sell at premiums when the tax system favors capital gains and at discounts when the tax advantage of capital gains is reduced after the 1975 elimination of the tax advantage to stock dividend shares we observe that investors convert virtually all stock dividend shares into cash dividend shares the possible existence of tax related dividend clienteles remains a controversy long 1978 poterba 1986 and bailey 1988 study firms with two classes of shares one class paying stock dividends and the other paying cash dividends for evidence of these clienteles and their effects on equity valuation the evidence from these studies is mixed long finds evidence supporting an investor preference for cash dividends over capital gains while poterba and bailey find no evidence of a preference for cash dividends we provide additional evidence on tax clienteles and their effects on equity valuation by studying twelve british investment trusts having one class of shares entitled only to stock dividends or scrip dividends the british term and another class entitled only to cash dividends our study of dual class british investment trusts provides unique insights

best performing us mutual fund families from 1993 to 2008 evidence from a novel two stage dea model for efficiency decomposition when analyzing relative performance especially at the institutional level the traditional data envelopment analysis dea models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency we propose a novel two stage dea model that decomposes the overall efficiency of a decision making unit into two components and demonstrate its applicability by assessing the relative performance of 66 large mutual fund families in the us over the period 1993 2008 by decomposing the overall efficiency into operational management efficiency and portfolio management efficiency components we reveal the best performers the families that deteriorated in performance and those that improved in their performance over the sample period we also make frontier projections for poorly performing mutual fund families and highlight how the portfolio managers have managed their funds relative to the others during financial crisis periods

derivative use fund flows and investment manager performance abstract prior literature which examines the use of derivatives by investment managers does not discern between different types of derivative trading strategies this study is the first to examine and gather data on a particular type of derivative trading strategy undertaken by investment managers we examine the extent to which equity fund managers use index futures to manage fund flows and the effect this has on their alpha and market timing measures of performance our results show that funds that do not use derivatives exhibit lower returns and negative market timing skills when they experience fund flow the performance of funds that use derivatives however is independent of investor s liquidity demands in fact the unconditional performance of the average user fund is statistically equivalent to the performance of the average non user fund conditional on zero fund flow our results provide evidence that derivatives can be beneficial for mutual fund holders under certain conditions

market timing and mutual fund performance an empirical investigation the evaluation of investment performance is of importance for allocating investment funds efficiently and setting appropriate management fees because actively managed mutual funds are an important form of investment in the united states a valid question is whether the active management has achieved a sufficient increase in returns to offset the associated costs of information and transactions as well as the management fees charged as a corollary the ability to earn superior returns based on superior forecasting ability would be a violation of the efficient markets hypothesis and would have far reaching implications for the theory of finance 2 henriksson and merton 1981 present statistical techniques for testing forecasting ability with a particular emphasis on the market timing ability of investment managers the tests are derived from the basic model of market timing developed by merton 1981 where the forecaster predicts when stocks will outperform riskless securities and when riskless securities will outperform stocks but does not predict the magnitude of the relative returns the evaluation of the performance of investment managers is a topic of considerable interest to practitioners and academics alike using both the parametric and nonparametric tests for the evaluation of forecasting ability presented by henriksson and merton the market timing ability of 116 open end mutual funds is evaluated for the period 1968 80 the empirical results do not support the hypothesis that mutual fund managers are able to follow an investment strategy that successfully times the return on the market portfolio

all s well that ends well on the importance of how returns are achieved we demonstrate that investor satisfaction and investment behavior are influenced substantially by the price path by which the final investor return is achieved in a series of experiments we analyze various different price paths investors are most satisfied if their assets first fall in value and then recover and they are least satisfied with the opposite pattern independent of whether the final return is positive or negative price paths systematically influence risk preferences return beliefs and ultimately trading decisions our results enable a much more holistic perspective on a wide range of topics in finance such as the disposition effect risk taking behavior after previous gains and losses and behavioral asset pricing

a new test of the three moment capital asset pricing model this paper tests the kraus litzenberger 1976 three moment capital asset pricing model using hansen s 1982 generalized method of moments gmm the gmm approach does not impose strong distributional assumptions on the asset returns this is an interest ing issue since there is no obvious multivariate distribution for returns that also exhibits co skewness using monthly stock returns to test the model there is some evidence that systematic skewness is priced

brothers from different mothers how distribution fees change investment behavior abstract we ask whether loads affect investment flows in the us mutual fund industry we argue that sales fees make the investment decision partially irreversible under these circumstances investors await for a stronger signal of managerial ability before committing to a new fund this stronger signal can take the form of a particularly strong performance or a particularly long series of positive performance realizations looking at pairs of fund shares with the same portfolio but different sales fee arrangements we show that investment flows in share classes with front loads react disproportionally to good performances higher convexity in the flow performance relationship and react to performance realizations further back in time longer memory a counterfactual example of fund shares with back end loads allows us to rule out the hypothesis that this behavior is due to the incentive structure of brokers finally we show that these behavioral modifications induced by front loads have a negative and significant effect on investors timing ability

efficiency with costly information a study of mutual fund performance 1965 1984 if information is costly to collect and implement then it is efficient for trades by informed investors to occur at prices sufficiently different from full information prices to compensate them for the cost of becoming informed this notion is tested by evaluating investment performance in the mutual fund industry over a 20 year period the study finds evidence that is consistent with optimal trading in efficient markets risk adjusted returns in the mutual fund industry net of fees and expenses are comparable to returns available in index funds and portfolio turnover and management fees are unrelated to fund performance

portfolio performance evaluation old issues and new insights this article presents a model that provides insights about various measures of portfolio performance the model explores several criticisms of these measures these include the problem of identifying an appropriate benchmark portfolio the possibility of overestimating risk because of market timing ability and the failure of informed investors to earn positive risk adjusted returns because of increasing risk aversion the article argues that these need not be serious impediments to performance evaluation

the long and short of it why are stocks with shorter runs preferred this article examines how consumers process graphical financial information to estimate risk we propose that consumers sample the local maxima and minima of a graph to infer the variation around a trend line which is used to estimate risk the local maxima and minima are more extreme the higher the run length of the stocks the consecutive number of upward or downward movements of a price series with identical mean variance skewness and kurtosis three experiments show that this leads to stocks with higher run lengths being perceived as riskier the run length effect importantly the run length effect is greater for investors who are more educated are employed full time trade more frequently have had longer experience trading and trade a wider range of financial instruments implications for the communication of financial products public policy and consumer welfare are discussed as are theoretical implications for the processing of visual and financial information and behavioral finance

when cheaper is better fee determination in the market for equity mutual funds abstract in this paper we develop a model of the market for equity mutual funds that captures three key characteristics of this market first there is competition among funds second fund managers ability is not observed by investors before making their investment decisions third some investors do not make optimal use of all available information the main results of the paper are that 1 price competition is compatible with positive mark ups in equilibrium and 2 worse performing funds set fees that are greater or equal to those set by better performing funds these predictions are supported by available empirical evidence

why does the law of one price fail an experiment on index mutual funds we conduct an experiment to evaluate why individuals invest in high fee index funds in our experiments subjects allocate 10 000 across four s p 500 index funds and are rewarded for their portfolio s subsequent return subjects overwhelmingly fail to minimize fees we can reject the hypothesis that subjects buy high fee index funds because of bundled non portfolio services search costs for fees matter but even when we eliminate these costs fees are not minimized instead subjects place high weight on annualized returns since inception fees paid decrease with financial literacy interestingly subjects who choose high fee funds sense they are making a mistake

electoral influence and economic policy political origins of financial aid to small business in japan the debate surrounding the role of bureaucrats and politicians in japan s economic policymaking process has largely been advanced through the presentation and discussion of case studies some cases have shown that economic policy is dominated by japan s bureaucracy whereas others have shown that electoral politics has been the primary determining factor to be sure both the bureaucracy and the liberal democratic party ldp have been influential and sorting out when and in what economic policy areas each has its influence remains a puzzle this article addresses this issue by developing and testing a model of electoral influence that specifies the conditions under which one would expect electoral considerations to take precedence over more institutionalized bureaucratic procedures in the economic policy making process the model is informed by the idea that some economic policy areas are more important to japan s previously ruling ldp than others and what these are depends on the characteristics of

measuring investment performance in a rational expectations equilibrium model much research has been concerned with evaluating the performance of managed portfolios e g mutual funds and examining whether portfolio managers display in some sense superior performance superior performance would seemingly turn on the possession of superior information that is utilized in managing portfolios in general a fund s asset holdings or portfolio weights might not be observable to an outsider whether they are or not however they are likely to change over time this happens especially when better performance is a result of superior information since managers will change their portfolio composition on obtaining private information since such changes must be taken into account the problem of measuring performance of managed portfolios is inherently different from that of evaluating the performance of individual assets groups of assets or generally portfolios with constant and known composition

investor behavior and the persistence of poorly performing mutual funds abstract recent studies tentatively suggest some mutual funds have near term persistent positive performance but reinforce earlier findings that other funds have long term persistent negative performance in this paper we ask how consistently underperforming mutual funds are able to persist nevertheless we compare two models one model incorporates the assumption that investors choose funds on the basis of past risk adjusted returns the other model motivated by the representativeness heuristic assumes investors react to recent returns without considering the predictive validity of returns our analysis of a sample of no load growth funds supports a model of investor behavior combining two extremes when choosing among funds investors respond to returns ignoring differences in systematic risk and expenses but upon choosing a fund they stick fast forsaking the sensitivity to returns displayed in evaluating funds

multi period performance persistence analysis of hedge funds since hedge funds specify significant lock up periods we investigate persistence in the performance of hedge funds using a multi period framework in which the likelihood of observing persistence by chance is lower than in the traditional two period framework under the null hypothesis of no manager skill no persistence the theoretical distribution of observing wins or losses follows a binormial distribution we test this hypothesis using the traditional two period framework and compare the findings with the results obtained using our multi period framework we examine whether persistence is sensitive to the length of return measurement intervals by using quarterly half yearly and yearly returns we find maximum persistence at the quarterly horizon indicating that presistence among hedge fund managers is short term in nature

performance persistence of pension fund managers previous work on u k pension funds found only slight evidence of fund manager persistence but survivorship bias in the construction of these data samples may have disguised true persistence using a large sample of pension funds over the period 1983 97 in which there is less survivorship bias we find strong evidence of persistence in abnormal returns generated by fund managers over 1 year time horizons but weaker evidence over longer horizons even when an allowance is made for momentum in stock returns we find pension fund managers exhibit performance persistence

do security analysts exhibit persistent differences in stock picking ability abstract we investigate whether security analysts exhibit persistence in their stock picking ability we find that analysts whose recommendation revisions earned the most least excess returns in the past continue to outperform underperform in the future further the market recognizes these performance differences in the five day period surrounding the recommendation revision this market reaction however is incomplete excess returns in the one and three trading months following the revision are significant and positively associated with analysts prior performance however a trading strategy taking long short positions in recommendation upgrades downgrades conditional on analysts prior performance is unprofitable

the home institution bias abstract we document a new investor preference we call the home institution bias whereas the home asset bias is a preference for domestic assets the home institution bias is a preference for domestic financial institutions our data come from sweden s government mandated retirement system in cross fund regressions we find that funds offered by swedish institutions received around 10 times more money than similar funds offered by foreign institutions we show that this preference for home institutions is distinct from the home asset preference is not driven by information asymmetries and is consistent with an underlying preference by individuals to deal with the familiar cross individual regressions also support a behavioral explanation because the home institution bias is strongest among financially unsophisticated and provincial investors

survivorship bias and attrition effects in measures of performance persistence we simulate standard tests of performance persistence using alternative returngenerating processes survival criteria and test methodologies when survival depends on performance over several periods survivorship bias induces spurious reversals despite the presence of cross sectional heteroskedasticity in performance look ahead biased methodologies and missing nal returns typical of u s mutual fund datasets can also materially a ect persistence measures our results reinforce previous ndings that u s mutual fund performance is truly persistent when fund performance is truly persistent fund attrition a ects persistence measures even when the sample includes all nonsurvivor returns we also examine the speci cation and power of the various persistence tests 1999 elsevier science s a all rights reserved

the performance of us equity mutual funds the paper examines the performance of us no load equity mutual funds fund performance is derived using stochastic frontier analysis for a flexible functional form this analysis allows us to derive parametric estimates of efficiency scores for each fund in our sample for the first time in the literature our results indicate that us no load equity funds display varying levels of efficiency over time but also depending on size and on investment style robustness analysis reaffirm the efficiency scores remain consistent across different selections of inputs and outputs as well as the underlying distribution of the return having estimated each fund s efficiency in the sample we unveil their underlying dynamics also with respect to risk and operational characteristics such as flows assets and morningstar star ratings panel var estimations reveal that the response of funds efficiency to a shock in risk is positive and substantial some evidence of reverse causality is also observed finally we extend our analysis to investigate the relationship between funds performance and key covariates across subgroups defined by size

do hedge funds deliver alpha a bayesian and bootstrap analysis abstract using a robust bootstrap procedure we find that top hedge fund performance cannot be explained by luck and hedge fund performance persists at annual horizons moreover we show that bayesian measures which help overcome the short sample problem inherent in hedge fund returns lead to superior performance predictability sorting on bayesian alphas relative to ols alphas yields a 5 5 per year increase in the alpha of the spread between the top and bottom hedge fund deciles our results are robust and relevant to investors as they are neither confined to small funds nor driven by incubation bias backfill bias or serial correlation

hot hands in mutual funds short run persistence of relative performance 1974 1988 the relative performance of no load growth oriented mutual funds persists in the near term with the strongest evidence for a one year evaluation horizon portfolios of recent poor performers do significantly worse than standard benchmarks those of recent top performers do better though not significantly so the difference in risk adjusted performance between the top and bottom octile portfolios is six to eight percent per year these results are not attributable to known anomalies or survivorship bias investigations with a different previously used data set and with some post 1988 data confirm the finding of persistence

hot hands in bond funds we investigate persistence in the relative performance of 3549 bond mutual funds from 1990 to 2003 we show that bond funds that display strong weak performance over a past period continue to do so in future periods the out of sample difference in risk adjusted return between the top and bottom decile of funds ranked on past alpha exceeds 3 5 percent per year we demonstrate that a strategy based on past fund returns earns an economically and statistically significant abnormal return suggesting that bond fund investors can exploit the observed persistence our results are robust to a wide range of model specifications and bootstrapped test statistics

on absolute and relative performance and the demand for mutual funds experimental evidence abstract empirically mutual fund flows depend on past performance it is unclear however whether this is rational using experiments we overcome measurement problems of real data we detect two anomalies 1 absolute performance effect investors tendency to delegate money to a fund increases with performance even when performance is uninformative 2 relative performance effect investors tendency to delegate money decreases with other funds performance even when their performance is attributed to luck per se we suggest two descriptive alternatives to expected utility 1 subjective conditional probability subjective probabilities deviate from bayesian posteriors 2 subjective risk aversion a history dependent utility function

a theory of optimal timing and selectivity abstract we solve an extended optimal portfolio problem in continuous time for any horizon where we allow the mean and variance of returns to be stochastic introduce fund flows to and from the portfolio permit differential investor preferences for dividend versus growth stocks and allow the investor to buy costly information on the random mean and variance of the portfolio to improve his portfolio choice set this model provides analytical results especially useful in understanding the expenditure on timing and selection information a mutual fund undertakes in attempting to improve performance relative to a benchmark we examine this proposition for growth and income funds long and short investment horizons and also account for fund inflows and outflows we also combine our model of costly learning with the traditional model of incomplete information to understand the interaction between costly and costless learning the approach taken is a purely theoretical one and in this regard the paper is normative in spirit we anticipate that the propositions in this paper will provide two byproducts i a framework for fund managers to think about how to allocate information expenses between timing and selection skills and ii give academics especially empirical researchers a theoretical backdrop against which to examine the mutual fund industry

rejoinder the j shape of performance persistence given survivorship bias hendricks patel and zeckhauser 1997 hpz find that the response of current to past returns for mutual funds in the presence of survivorship is nonlinear in our rejoinder to their paper we verify their results through simulation provide some intuition for why the result is true and evaluate the power of their proposed test based upon the j shape pattern theirs is a useful contribution to the growing literature about the issue of survival biases in empirical finance it may help to explain puzzling results reported in the mutual fund literature and may provide a guide for future experimental design our investigation of the hpz results led us to a more complete understanding of how differential volatility affects survival conditioned returns our simulations of the test statistic proposed by hpz suggest that the power of the test is dependent on the absolute level of the threshold as well as on the magnitude of the cross sectional differences in variance while it would be useful to have a relia

does historical performance predict future performance an investigation of the persistence of mutual fund performance indicates that investors need more than past performance numbers to pick future winners in this study style analysis was used to separate fund total returns into style and selection components performance was defined in terms of total returns selection returns and information ratios ratios of selection return to selection risk for each fund type two out of sample periods were established to investigate persistence of performance from one period to the next using regression analysis and contingency tables the evidence supported persistence only for fixed income fund performance this persistence is beyond any effects of fund fees and expenses or data base survivorship bias unfortunately this persistence edge cannot overcome the average underperformance of fixed income funds resulting from fees and expenses

do ethics imply persistence the case of islamic and socially responsible funds we analyse the performance persistence of islamic and socially responsible investment sri mutual funds we adopt a multi stage strategy in which in the first stage partial frontiers approaches are considered to measure the performance of the different funds in the sample in the second stage the results yielded by the partial frontiers are plugged into different investment strategies based on a recursive estimation methodology whose persistence performance is evaluated in the third stage of the analysis results indicate that for both types of funds performance persistence actually exists but only for the worst and most notably best funds this result is robust not only across methods and different choices of tuning parameters within each method but also across both sri and islamic funds although in the case of the latter persistence was stronger for the best funds the persistence of sri and islamic funds represents an important result for investors and the market since it provides information on both which funds to invest in and which funds to avoid last but not least the use of the aforementioned techniques in the context of mutual funds could also be of interest for the non conclusive literature

losers winners and biased trades when faced with sequential information consumers tend to fall prey to one of two well known heuristics the hot or cold hand and the gambler s fallacy the authors relate these two traditionally separate heuristics to differences in accepting buy versus rejecting sell decisions they identify trend length as a contextual moderating variable and show an asymmetry between buying and selling frames when applied to a stock market context a consistent finding is that consumers prefer to buy past winners and sell past losers even when neither should be preferred this behavior violates the normative rule of buy low and sell high

estimating short run persistence in mutual fund performance this paper analyzes the properties of a number of estimators that can be used to estimate short run persistence in mutual fund returns when data for different funds are pooled it is advisable to

a reexamination of the market timing and security selection performance of mutual funds an extended and correctly specified version of the treynor mazuy tm model is used to examine the market timing and stock selection abilities of domestic equity mutual funds this extended model controls for the inclusion of non s p 500 assets in mutual fund portfolios we document positive and significant market timing abilities for 633 mutual funds during the 1984 94 period this finding is in sharp contrast to the negative market timing abilities found when using the original tm model which does not control for non s p 500 assets security selection abilities are significantly positive and cross sectional correlations between market timing and selectivity are significantly negative the monotonic correlation between turnover and market timing is positive and that between turnover and selectivity is negative neither of these findings is evident with the original tm model or with traditional linear parametric measures of correlation