G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w27380
来源IDWorking Paper 27380
Reconsidering Returns
Samuel M. Hartzmark; David H. Solomon
发表日期2020-06-22
出版年2020
语种英语
摘要Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for “beating the S&P 500,” price index based on net asset value (also not a return). Investors extrapolate market indices, not returns, when forming annual performance expectations. Displaying returns by default would ameliorate these issues, which arise despite high attention and agreement on the appropriate measure.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Financial History
URLhttps://www.nber.org/papers/w27380
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/585053
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Samuel M. Hartzmark,David H. Solomon. Reconsidering Returns. 2020.
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