G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w19349
来源IDWorking Paper 19349
Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity
Wayne E. Ferson; Jerchern Lin
发表日期2013-08-22
出版年2013
语种英语
摘要The literature has not unambiguously established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. However, when alpha is defined using the client's marginal utility function, a client faced with a positive alpha would generally want to buy. When markets are incomplete performance measurement is inherently investor specific, and investors will disagree about the attractiveness of a given fund. We provide empirical bounds on the expected disagreement with a traditional alpha and study the cross sectional effects of disagreement and investor heterogeneity on the flow response to past fund alphas. The effects are both economically and statistically significant.
主题Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w19349
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/577024
推荐引用方式
GB/T 7714
Wayne E. Ferson,Jerchern Lin. Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity. 2013.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Wayne E. Ferson]的文章
[Jerchern Lin]的文章
百度学术
百度学术中相似的文章
[Wayne E. Ferson]的文章
[Jerchern Lin]的文章
必应学术
必应学术中相似的文章
[Wayne E. Ferson]的文章
[Jerchern Lin]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。