| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18050 |
| 来源ID | Working Paper 18050 |
| Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation | |
| Martijn Cremers; Antti Petajisto; Eric Zitzewitz | |
| 发表日期 | 2012-05-04 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small value stocks, which have performed well, and from the CRSP value-weighted market index, which is historically a downward-biased benchmark for U.S. stocks. We propose small methodological changes to the Fama-French factors to eliminate the nonzero alphas, and we also propose factor models based on common and tradable benchmark indices. Both kinds of alternative models improve performance evaluation of actively managed portfolios, with the index-based models exhibiting the best performance. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w18050 |
| 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/575726 |
| 推荐引用方式 GB/T 7714 | Martijn Cremers,Antti Petajisto,Eric Zitzewitz. Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation. 2012. |
| 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 | ||
| w18050.pdf（301KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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