Money market mutual funds are playing a large role in the plans of many corporate, institutional,
and individual investors. This study provides information on the collective ability of fund …

This study uses a methodology that is independent of beta estimates to provide empirical
evidence on the success of market timing by mutual fund managers. A fund's success at market …

Marketing researchers frequently encounter cross-sectional, time-series data when developing
sales response models. One approach to analyzing such data is to estimate a separate …

This paper examines the question of whether daily returns on Treasury bills exhibit day-of-the-week
effects. Numerous studies of stock market returns [5, 7, 8, 9, 10] have appeared, but …

A beta regression model is proposed where the coefficients follow a general class of stationary
stochastic processes. The procedure identifies the process and estimates the parameters …

A procedure that explicitly estimates the form of beta nonstationary followed by a security is
examined. Beta estimates and forecasts generated from this process are compared with …

This paper presents three small sample tests for testing the heteroscedasticity among
regression disturbances. The power of these tests are compared with two of the leading tests for …

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… 4 indicates that the proposed procedure is superior to alternative tests of H 0 versus H A …
H 0 when w(α) > 1 and accepting H 0 when F A < F α T defines a bounds test for H 0 versus H A …

In this paper we consider the general problem of estimation and inference in stochastic
simultaneous equations. We discuss a class of modified limited information maximum likelihood …