Hello everyone,
Currently I am trying to measure the performance of a sample of approximately 1600 funds over 131 months. In different research papers I read that when using a regression model and take the excess return as dependent variable and some factors such as the excess market return as independent variables the intercept basically tells you how much the sample outperforms or underperforms the market. After doing a Hausman test I decided to use a Fixed effects model. However, I read somewhere than you cant interpret the intercept as the over or underperformance when using Fixed Effects, but I couldnt find a proper explanation. Could anyone tell me if Im using the right model? If not, which model should I use to measure the performance of the funds in regard to the market and the other factors.
Kind regards,
Luc
Currently I am trying to measure the performance of a sample of approximately 1600 funds over 131 months. In different research papers I read that when using a regression model and take the excess return as dependent variable and some factors such as the excess market return as independent variables the intercept basically tells you how much the sample outperforms or underperforms the market. After doing a Hausman test I decided to use a Fixed effects model. However, I read somewhere than you cant interpret the intercept as the over or underperformance when using Fixed Effects, but I couldnt find a proper explanation. Could anyone tell me if Im using the right model? If not, which model should I use to measure the performance of the funds in regard to the market and the other factors.
Kind regards,
Luc
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