全球智库信息集成服务系统(G2TT): A Panel Regression Approach to Holdings-based Fund Performance Measures

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28238
来源ID	Working Paper 28238
	A Panel Regression Approach to Holdings-based Fund Performance Measures
	Wayne E. Ferson; Junbo L. Wang
发表日期	2020-12-21
出版年	2020
语种	英语
摘要	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.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w28238
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/585912
推荐引用方式 GB/T 7714	Wayne E. Ferson,Junbo L. Wang. A Panel Regression Approach to Holdings-based Fund Performance Measures. 2020.