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The information content of portfolio performance history and persistence in fund performance: An examination of rollover funds

✍ Scribed by Terrence A. Hallahan


Book ID
108514085
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
311 KB
Volume
39
Category
Article
ISSN
0810-5391

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## Abstract One of the most widely used option valuation models among practitioners is the ad hoc Black–Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider two rollover strategies (nearest‐to‐next strategy and next‐to‐next) used in the AHBS model to in