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Journal Article
Correcting for Heteroscedasticity in Tests for Market Timing Ability
Journal of Business
Author(s)
In this paper we examine the parametric test proposed by Henriksson and Merton for evaluating the market timing ability of portfolio managers. Using simulation techniques we show that correction for heteroscedasticity can significantly affect the conclusions. We find that the heteroscedasticity corrections suggested by Hansen and by White are particularly effective.
Date Published:
1986
Citations:
Breen, William, Ravi Jagannathan, Aharon Ofer. 1986. Correcting for Heteroscedasticity in Tests for Market Timing Ability. Journal of Business. (4)585-598.