• Medientyp: E-Book
  • Titel: A Panel Regression Approach to Holdings-based Fund Performance Measures
  • Beteiligte: Ferson, Wayne E. [Verfasser:in]; Wang, Junbo L. [Sonstige Person, Familie und Körperschaft]
  • Körperschaft: National Bureau of Economic Research
  • Erschienen: Cambridge, Mass: National Bureau of Economic Research, 2020
  • Erschienen in: NBER working paper series ; no. w28238
  • Umfang: 1 Online-Ressource; illustrations (black and white)
  • Sprache: Englisch
  • DOI: 10.3386/w28238
  • Identifikator:
  • Schlagwörter: Investmentfonds ; Performance-Messung ; Panel ; Regressionsanalyse
  • Reproduktionsnotiz: Hardcopy version available to institutional subscribers
  • Entstehung:
  • Anmerkungen: System requirements: Adobe [Acrobat] Reader required for PDF files
    Mode of access: World Wide Web
  • Beschreibung: Portfolio performance measures using holdings data are panel regressions. The returns of a fund's stocks are regressed on its lagged portfolio weights. Stock fixed effects isolate average performance from time-series predictive ability. Control variables condition fund performance on the characteristics of the stocks held. The long term performance of average holdings drives some of the classical measures, while predictive ability drives others. A "buy-and-hold drift," where portfolio weights increase over time in the higher alpha stocks, affects performance measures. Investor flows respond to average performance net of the buy-and-hold drift
  • Zugangsstatus: Freier Zugang