Dear all,
I want to test if there is a difference in returns between fund characteristics (think number of holdings). I observe these just once for each fund and the whole time period:
.................. .................. Fund Name.... Portfolioretuns ......Benchmarkreturn...... Number of Holdings
01.01.2005 .................. Fund 1 .................. 0,02 .................. 0,01 .................. 5
02.01.2005 .................. Fund 1 .................. 0,03 .................. 0,04 .................. 5
01.01.2005 .................. Fund 2 .................. 0,04 .................. 0,01 .................. 8
02.01.2005 .................. Fund 2 .................. 0,07 .................. 0,04 .................. 8
For the CAPM approach I am using:
How should I test now for the influence of the characteristic? I thought about time fixed effects...
Thanks!
Matthias
I want to test if there is a difference in returns between fund characteristics (think number of holdings). I observe these just once for each fund and the whole time period:
.................. .................. Fund Name.... Portfolioretuns ......Benchmarkreturn...... Number of Holdings
01.01.2005 .................. Fund 1 .................. 0,02 .................. 0,01 .................. 5
02.01.2005 .................. Fund 1 .................. 0,03 .................. 0,04 .................. 5
01.01.2005 .................. Fund 2 .................. 0,04 .................. 0,01 .................. 8
02.01.2005 .................. Fund 2 .................. 0,07 .................. 0,04 .................. 8
For the CAPM approach I am using:
Code:
reg Portfolioretuns Benchmarkreturn, robust
Thanks!
Matthias
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