Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
收藏NBER2012-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18050
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资源简介：
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small value
提供机构：
美国国家经济研究局
创建时间：
2012-05-01
