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A Panel Regression Approach to Holdings-based Fund Performance Measures / Wayne E. Ferson, Junbo L. Wang.
- Format:
- Book
- Author/Creator:
- Ferson, Wayne E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28238.
- NBER working paper series no. w28238
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- 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.
- Notes:
- Print version record
- December 2020.
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