ESTIMATION OF TIME-VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION

Authors

  • Stanley J. Kon,

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    • The authors are Visiting Assistant Professor of Finance, University of Chicago, and Manufacturers and Traders Trust Company Professor of Banking and Finance, SUNY/AB, respectively. They wish to acknowledge helpful comments and discussions with M. Blume, A. Chen, A. R. Gallant, R. Hagerman, R. Haugen, D. Hester, E. H. Kim, A. Madansky, M. Miller, E. Parzen, L. Rosenthal, G. Schlarbaum, M. Scholes, L. Senbet, J. Williams, and especially Michael Hartley. This paper has also benefited from comments by Charles R. Nelson and discussions with participants in the Workshops at the University of Chicago (Finance), State University of New York at Buffalo (Finance and Statistics), University of Wisconsin-Madison (Business Statistics and Economics), and the University of Utah (Finance).
  • Frank C. Jen

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    • The authors are Visiting Assistant Professor of Finance, University of Chicago, and Manufacturers and Traders Trust Company Professor of Banking and Finance, SUNY/AB, respectively. They wish to acknowledge helpful comments and discussions with M. Blume, A. Chen, A. R. Gallant, R. Hagerman, R. Haugen, D. Hester, E. H. Kim, A. Madansky, M. Miller, E. Parzen, L. Rosenthal, G. Schlarbaum, M. Scholes, L. Senbet, J. Williams, and especially Michael Hartley. This paper has also benefited from comments by Charles R. Nelson and discussions with participants in the Workshops at the University of Chicago (Finance), State University of New York at Buffalo (Finance and Statistics), University of Wisconsin-Madison (Business Statistics and Economics), and the University of Utah (Finance).

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