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• W3114986605 abstract "Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks are regressed on its lagged portfolio weights. Stock fixed effects isolate average performance from time-series predictive ability. Control variables condition fund performance on the characteristics of the stocks held. The long term performance of average holdings drives some of the classical measures, while predictive ability drives others. A “buy-and-hold drift,” where portfolio weights increase over time in the higher alpha stocks, affects performance measures. Investor flows respond to average performance net of the buy-and-hold drift." @default.
• W3114986605 created "2021-01-05" @default.
• W3114986605 creator A5043908755 @default.
• W3114986605 creator A5079825598 @default.
• W3114986605 date "2020-12-01" @default.
• W3114986605 modified "2023-09-28" @default.
• W3114986605 title "A Panel Regression Approach to Holdings-based Fund Performance Measures" @default.
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• W3114986605 doi "https://doi.org/10.3386/w28238" @default.
• W3114986605 hasPublicationYear "2020" @default.
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