Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Improving mutual fund market timing measures: a markov switching approach"
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Improving mutual fund market timing measures: a markov switching approach
2001-07-31Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. ...


