Estimation of Time‐varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression

Testing the Number of Components in Normal Mixture Regression Models

“…Finite mixtures of normal distributions and regressions have been used in numerous empirical applications in diverse fields such as biological, physical, and social sciences, including economics and finance (see, e.g., Kon, 1984;Tucker, 1992;Venkataraman, 1997;Quandt and Ramsey, 1978;Kon and Jen, 1978;Conway and Deb, 2005). Mixture-of-expert models with normal component distribution (see, e.g., Jacobs et al, 1991) can also be viewed as finite mixture of normal regression models.…”

The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation

“…The observed correlations between selectivity and timing were given in Table V Kon (1983), Henriksson (1984), Coggin and Hunter (1991), and Connor and Korajczyk (1991) Lehmann and Modest (1987) and Grinblatt and Titman (1989a).…”

“…These are models by Grinblatt and Titman (1989b), Henriksson and Merton (1981), and an alternative version of the Henriksson and Merton mcxlel by Kon andJen (1978, 1979 (1986) and Lehmann and Modest (1987), we use heteroscedasticity-consistent standard errors prof)osed by White (1980), Hansen (1982), and Hsieh (1983 Lee and Rahman (1990).…”

Unit trust objectives and investor choice

“…Non-trading may also be a cause of the 'intervaling effect' although any kind of error in measuring returns would be sufficient according to Schwartz and Whitcomb (1977). Dimson (1979) Kon and Jen (1978) conclude that there was substantial risk level non-stationarity in their sample of trusts whilst confirmatory evidence is provided by Miller andGressis (1980) andAlexander et al (1982). Using U K data Ward and Saunders (1 976) note that for their sample 'the beta characteristics of the trusts were changing too fast for our adjustment procedure'.…”