Construct · 1 fields · 1 citations

Henriksson-Merton test: a standalone construct

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Henriksson-Mertontest1 CONSTRUCTHenriksson-Merton testHENRIKSSON · FINANCE

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Finance

statistical test of a fund manager's market timing skill that treats timing as a put option and detects it through a different beta in down markets.

In finance, Henriksson-Merton test refers to statistical test of a fund manager's market timing skill that treats timing as a put option and detects it through a different beta in down markets. This meaning comes from Henriksson (1981) in The Journal of Business.[1]

Unit
Recovery means
Measured by

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Nearby constructs

beta3 fields · 3 citationsjingle · one word, three constructsbusiness1 fields · 1 citationsanchor · a standalone constructmarket timing theory of capital structure1 fields · 1 citationsanchor · a standalone construct

References

  1. Henriksson, R. D., & Merton, R. C. (1981). On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. The Journal of Business, 54(4), 513. https://doi.org/10.1086/296144

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