| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12461 |
| 来源ID | Working Paper 12461 |
| Benchmarking Money Manager Performance: Issues and Evidence | |
| Josef Lakonishok; Louis Chan; Stephen G. Dimmock | |
| 发表日期 | 2006-08-18 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and time-series return regressions, by applying them to a sample of active money managers and passive indexes. Estimated abnormal returns display large variation across approaches. The benchmarks most widely used in academic research --- attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics --- have poor ability to track returns. Simple alterations are provided that improve the performance of the methods. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w12461 |
| 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/570119 |
| 推荐引用方式 GB/T 7714 | Josef Lakonishok,Louis Chan,Stephen G. Dimmock. Benchmarking Money Manager Performance: Issues and Evidence. 2006. |
| 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 | ||
| w12461.pdf（624KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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