A Panel Regression Approach to Holdings-Based Fund Performance Measures
نویسندگان
چکیده
Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks regressed on its lagged portfolio weights. Stock fixed effects isolate average from time-series predictive ability. Control variables condition for fund the characteristics held. long-term drives some classical measures, while ability others. A “buy-and-hold drift,” where weights increase over time in higher alpha stocks, affects measures. Investor flows respond to net buy-and-hold drift. (JEL G11, G14, G23, G29).
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ژورنال
عنوان ژورنال: The Review of Asset Pricing Studies
سال: 2021
ISSN: ['2045-9939', '2045-9920']
DOI: https://doi.org/10.1093/rapstu/raab007