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Stata Code for Elton and Gruber’s “Are Investors Rational? Choices Among Index Funds”

Attaullah Shah
Elton and Gruber Are Investors Rational

Elton and Gruber Are Investors Rational

Introduction

In their seminal paper, Elton and Gruber examine the rationality of investors by analyzing their choices among index funds. They use regression analysis to examine the relationship between return measures and several variables that might predict return. Their findings suggest that both past returns and expenses are significant predictors of future performance, and this holds true over both short-term and long-term horizons.

 

Our Stata Code Implementation

We have developed a comprehensive Stata code that replicates the methodology used in Elton and Gruber’s paper. Our code covers the following analyses:

  • 3-Year and 1-Year Horizon Analysis
  • Predictability of Management Skill
  • Predictability of Risk

Our Stata code is designed to be user-friendly and easy to understand, even for those who are new to Stata. We provide clear comments and explanations for each part of the code to ensure that you can follow along and understand exactly what is happening at each step.

 

Pricing

We offer two distinct packages for the “Stata code for Elton and Gruber’s ‘Are Investors Rational? Choices Among Index Funds’”.

  • Three Tables Package: Priced at 239 GBP, this package includes the Stata code for three tables from the paper. Choose this package to gain insights from key parts of the paper’s analysis.

 

  • Complete Analysis Package: Priced at 339 GBP, this package includes the Stata code for all seven tables from the paper. Opt for this comprehensive package to fully replicate the paper’s results and analyses.

 

Choose the package that best suits your needs and make the most of our offerings.

 

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          Why should you buy the code?

Created by an Expert

The code is written by Dr. Prof. Attaullah Shah, an experienced finance professional with over 20 years of experience in coding and quantitative modeling. He has published many Stata programs demonstrating his expertise.

Customizable and Extensible

While implementing the core model, the code is structured and commented in a way that makes it easy to customize and extend for your own purposes. Adapt it to your specific needs.

Save Time and Effort Developing Your Own Code

The code on the page implements the complex KMV Merton model for calculating distance to default and default probabilities. Developing this from scratch would take considerable time and effort.

Accurate and Well-Tested Implementation

The code has been thoroughly tested and validated to ensure it accurately implements the published KMV Merton model. You can trust it to produce correct results.

Efficient and Optimized

The code has been optimized to run efficiently on large datasets. It leverages vectorization and other techniques to maximize performance.

Expert Support

The code comes with expert support to help you implement and customize it for your needs. Get answers and guidance from the creator.

Affordable Pricing

For a very reasonable price, you get reliable, optimized code plus support. Far more affordable than building it yourself.

  References

 

Elton, E. J., Gruber, M. J., & Busse, J. A. (2004). Are investors rational? Choices among index funds. the Journal of Finance, 59(1), 261-288.

 

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