A Panel Regression Approach to Holdings-based Fund Performance Measures
收藏NBER2020-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w28238
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资源简介：
Portfolio performance measures using holdings data are panel regressions. The returns of a funds stocks are regressed on its lagged portfolio weights. Stock fixed effects isolate average performance from time-series predictive ability. Control variables condition fund performance on the
提供机构：
美国国家经济研究局
创建时间：
2020-12-01
