索引(排版)
计量经济学
一致性(知识库)
秩相关
指数基金
窗口(计算)
经济
优势(遗传学)
斯皮尔曼秩相关系数
度量(数据仓库)
统计
数学
计算机科学
财务
开放式基金
数据挖掘
公司治理
机构投资者
万维网
生物化学
几何学
化学
基因
操作系统
作者
Xuexiang Yu,Jianlin Liu,Donald Lien
标识
DOI:10.1016/j.qref.2023.03.001
摘要
In this paper, we propose a new window dressing index, Simulation Return Rank Gap, and show it improves over the two popular fund window dressing indexes, Backward Holding Return Gap and Rank Gap. First, we conduct a simulation analysis to confirm the dominance of the new index. Next, we use the Chinese market data to compare the three indexes empirically. We find all three indexes confirm the existence of window dressing in the Chinese fund market. The new index maintains a high consistency ratio and a large Spearman correlation coefficient with other indexes. It also has a smaller probability of misidentifying the window dressing funds. The results support the new index as a superior alternative to the current method.
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