Mutual fund rates of return generating process
Subtitle: a generalized functional form approach
By: Cheng F. Lee, Frank J. Fabozzi, Jack C. Francis
Contributors: Fabozzi, Frank J. joint author; Francis, Jack Clark, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: Faculty working papers -- no. 552; Faculty working papers -- no. 552.
Publisher: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign
Published: 1979
Place of publication: [Urbana, Ill.]
Language: eng
Number of pages: 19
Subjects: Mutual funds
Description: "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."
Notes: Includes bibliographical references (p. 19).