1,067
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection

&
Pages 147-157 | Received 01 Dec 2014, Published online: 31 Jul 2018

References

  • Ahn, S. C., and Horenstein, A. (2013), “Eigenvalue Ratio Test for the Number of Factors,” Econometrica, 81, 1203–1227.
  • Bai, J., and Ng, S. (2002), “Determining the Number of Common Factors in Approximate Factor Model,” Econometrica, 70, 191–221.
  • Barras, L., Scaillet, O., and Wermers, R. (2010), “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,” Journal of Finance, 65, 179–216.
  • Benjamini, Y., and Hochberg, Y. (1995), “Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing,” Journal of the Royal Statistical Society, Series B, 57, 289–300.
  • Berk, J. B., and Green, R. C. (2004), “Mutual Fund Flows and Performance in Rational Markets,” Journal of Political Economy, 112, 1269–1295.
  • Carhart, M. (1997), “On Persistence in Mutual Fund Performance,” Journal of Finance, 52, 57–82.
  • Chamberlain, G., and Rothschild, M. (1983), “Arbitrage, Factor Structure, and Mean Variance Analysis on Large Asset Markets,” Econometrica, 51, 1281–1304.
  • Cornell, B. (2009), “Luck, Skill, and Investment Performance,” Journal of Portfolio Management, 35, 131–134.
  • Fama, E. F., and French, K. R. (1993), “Common Risk Factors in the Return on Stocks and Bonds,” Journal of Financial Economics, 33, 3–56.
  • ——— (2010), “Luck Versus Skill in the Cross Section of Mutual Fund Returns,” Journal of Finance, 65, 1915–1947.
  • Fan, J., and Han, Y. (2012), “Estimation of the False Discovery Proportion with Unknown Dependence,” Journal of the Royal Statistical Society, Series B, 79, 1143–1164.
  • Fan, J., Han, X., and Gu, W. (2012), “Estimating False Discovery Proportion Under Arbitrary Covariance Dependence,” Journal of the American Statistical Association, 107, 1019–1035.
  • Fan, J., Liao, Y., and Mincheva, M. (2013), “Large Covariance Estimation by Thresholding Principal Orthogonal Complements,” Journal of the Royal Statistical Society, Series B, 75, 603–680.
  • Friguet, C., Kloaereg, M., and Causeur, D. (2009), “A Factor Model Approach to Multiple Testing Under Dependence,” Journal of the American Statistical Association, 104, 1406–1415.
  • Gagnon-Bartsch, J. A., and Speed, T. P. (2012), “Using Control Genes to Correct for Unwanted Variation in Microarray Data,” Biostatistics, 13, 539–552.
  • Genovese, C. R., Roeder, K., and Wasserman, L. (2006), “False Discovery Control With p-Value Weighting,” Biometrika, 93, 509–524.
  • Kleibergen, K., and Zhan, Z. (2015), “Unexplained Factors and Their Effects on Second Pass R-Square's and t-Tests,” Journal of Econometrics, 189, 101–116.
  • Leek, J. T., and Storey, J. D. (2008), “A General Framework for Multiple Testing Dependence,” Proceedings of the National Academy of Sciences of United States of America, 105, 18718–18723.
  • Lintner, J. (1965), “The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budges,” Review of Economics and Statistics, 47, 13–37.
  • Sharpe, W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, 19, 425–442.
  • Storey, J. D., Taylor, J. E., and Siegmund, D. (2004), “Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach,” Journal of the Royal Statistical Society, Series B, 66, 187–205.
  • Sun, W., and Cai, T. (2009), “Large-Scale Multiple Testing Under Dependence,” Journal of the Royal Statistical Society, Series B, 71, 393–424.
  • Wang, H. (2009), “Forward Regression for Ultra-High Dimensional Variable Screening,” Journal of the American Statistical Association, 104, 1512–1524.
  • ——— (2012), “Factor Profiled Independence Screening,” Biometrika, 99, 15–28.
  • Wasserman, L., and Roeder, K. (2009), “High Dimensional Variable Selection,” Annals of Statistics, 37, 2178–2201.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.