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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w27380 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w27380 |
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/585053 |
推荐引用方式 GB/T 7714 | Samuel M. Hartzmark,David H. Solomon. Reconsidering Returns. 2020. |
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 | ||
w27380.pdf(1161KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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