基于持股的基金绩效评估的面板回归方法

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-03-05 DOI:10.1093/rapstu/raab007

Wayne Ferson, Junbo L Wang

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引用次数: 0

摘要

使用持股数据的投资组合绩效指标是面板回归。基金股票的回报是根据其滞后的投资组合权重进行回归的。股票固定效应将平均业绩从时间序列预测能力中分离出来。基金业绩的控制变量条件取决于所持股票的特点。一些经典指标是由平均持股的长期表现决定的，而另一些则是由预测能力决定的。“买入并持有的漂移”，即投资组合权重随着时间的推移而增加，会影响业绩指标。投资者流动反应平均业绩净买入并持有漂移。(凝胶g11, g14, g23, g29)。

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A Panel Regression Approach to Holdings-Based Fund Performance Measures

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).

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.