Mutual Funds' Conditional Performance Free of Data Snooping Bias
(2023)
Journal Article
Hsu, P., Kyriakou, I., Ma, T., & Sermpinis, G. (in press). Mutual Funds' Conditional Performance Free of Data Snooping Bias. Journal of Financial and Quantitative Analysis, https://doi.org/10.1017/S0022109024000097
We introduce a test to assess mutual funds' "conditional" performance that is based on updated information and corrects data snooping bias. Our method, named the functional False Discovery Rate "plus" (f F DR +), incorporates fund characteristics in... Read More about Mutual Funds' Conditional Performance Free of Data Snooping Bias.