| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w1243
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| 来源ID | Working Paper 1243
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| The Forecasting Ability of Money Market Fund Managers and its Economic Value |
| Alex Kane; Young Ki Lee
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| 发表日期 | 1983-12-01
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| 出版年 | 1983
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| 语种 | 英语
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| 摘要 | The model proposed by Merton(1981) to determine the value of forecasting ability is adapted to investigate whether money market fund managers successfully anticipate changes in the yield curve by adjusting the average maturity of their portfolios in the right direction. The potential economic value of such behavior is assessed, and it is shown that if the portfolios of all money market funds were aggregated it would appear that managers are good forecasters even if individually they possess insignifcant forecasting ability. At the same time, the economic value of the aggregate portfolio will be diminished because of the reduced net change in average maturity. Thus, diversifying into many money market funds will not attain the gain that could be realized if an individual manager had a forecasting ability equal to the quality of the average forecast.A sample of 34 money market funds is investigated. Analysis suggests that a small fraction of the funds exhibited forecasting skills, but even they generated negligible economic value because the changes in their portfolios average maturity were too small.There appears to be no relationship between forecasting ability and economic success of money market funds as measured by asset size and growth. |
| 主题 | Financial Economics
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| URL | https://www.nber.org/papers/w1243
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558469
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推荐引用方式
GB/T 7714 |
Alex Kane,Young Ki Lee. The Forecasting Ability of Money Market Fund Managers and its Economic Value. 1983.
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文件名：
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w1243.pdf
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格式：
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Adobe PDF
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