I would like to compare the Sharpe and appraisal ratio of two different samples and check whether the difference is statistically significant. Does somebody have a manual / instruction how to implement the Jobson and Korkie (1981) test?
Thx in advance,
CFWFR
Search found 2 matches
- Mon Aug 24, 2009 7:31 am
- Forum: Estimation
- Topic: Jobson and Korkie (1981) test
- Replies: 0
- Views: 2654
- Mon Aug 24, 2009 7:29 am
- Forum: Estimation
- Topic: Fama-McBeth Regression
- Replies: 0
- Views: 2160
Fama-McBeth Regression
Hallo everybody, for my final thesis i need to undertake a Fama McBeth regression. Unluckily, i do not know how to implement it. In total I have two mutual fund samples (returns) and 3 independent variables. I have the values for the independent variables, but have a problem how to get the dependent...