A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors

Hoechle, Daniel and Zimmermann, Heinz. (2007) A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors. WWZ Discussion Papers, 2007 (14).

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Official URL: https://edoc.unibas.ch/61238/

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We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
12 Special Collections > WWZ Publications > WWZ Discussion Papers and Working Papers
UniBasel Contributors:Hoechle, Daniel and Zimmermann, Heinz
Item Type:Working Paper
Publisher:WWZ, University of Basel
Number of Pages:54
Note:Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
Identification Number:
  • handle: RePEc:bsl:wpaper:2007/14
edoc DOI:
Last Modified:09 Mar 2018 10:53
Deposited On:07 Mar 2018 11:18

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