| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9359 |
| 来源ID | Working Paper 9359 |
| Judging Fund Managers by the Company They Keep | |
| Randolph Cohen; Joshua Coval; Lubos Pastor | |
| 发表日期 | 2002-12-02 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of U.S. equity funds after accounting for momentum in stock returns. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9359 |
| 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/566976 |
| 推荐引用方式 GB/T 7714 | Randolph Cohen,Joshua Coval,Lubos Pastor. Judging Fund Managers by the Company They Keep. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9359.pdf（519KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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