| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19349 |
| 来源ID | Working 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 |
| URL | https://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。
