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- W3169519037 abstract "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 for 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. (JEL G11, G14, G23, G29)." @default.
- W3169519037 created "2021-06-22" @default.
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- W3169519037 date "2021-03-09" @default.
- W3169519037 modified "2023-10-18" @default.
- W3169519037 title "A Panel Regression Approach to Holdings-Based Fund Performance Measures" @default.
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- W3169519037 doi "https://doi.org/10.1093/rapstu/raab007" @default.
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