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|Title:||Benchmarking money manager performance : issues and evidence||Authors:||Chan, Louis K. C.
Dimmock, Stephen G.
|Keywords:||DRNTU::Business::Finance::Money||Issue Date:||2009||Source:||Chan, L. K. C., Dimmock, S. G., & Lakonishok, J. (2009). Benchmarking Money Manager Performance: Issues and Evidence. The Review of Financial Studies, 4553-4599.||Series/Report no.:||The review of financial studies||Abstract:||Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and time-series return regressions, by applying them to a sample of active money managers and passive indexes. Estimated abnormal returns display large variation across approaches. The benchmarks most widely used in academic research - attribute-matched portfolios from independent sorts, the conventional three-factor time series model, and cross-sectional regressions of returns on stock characteristics - have poor ability to track returns. Simple alterations are provided that improve the performance of the methods.||URI:||https://hdl.handle.net/10356/100242
|ISSN:||1556-5068||DOI:||10.2139/ssrn.921915||Rights:||© The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies.||Fulltext Permission:||none||Fulltext Availability:||No Fulltext|
|Appears in Collections:||NBS Journal Articles|
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