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dc.contributor.authorChan, Louis K. C.en
dc.contributor.authorDimmock, Stephen G.en
dc.contributor.authorLakonishok, Josefen
dc.identifier.citationChan, L. K. C., Dimmock, S. G., & Lakonishok, J. (2009). Benchmarking Money Manager Performance: Issues and Evidence. The Review of Financial Studies, 4553-4599.en
dc.description.abstractAcademic 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.en
dc.format.extent61 p.en
dc.relation.ispartofseriesThe review of financial studiesen
dc.rights© The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies.en
dc.titleBenchmarking money manager performance : issues and evidenceen
dc.typeJournal Articleen
dc.contributor.schoolCollege of Business (Nanyang Business School)en
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