A Panel Regression Approach to Holdings-Based Fund Performance Measures
Multiperiod performance persistence analysis of hedge funds
Wayne Ferson and
Junbo L Wang
The Review of Asset Pricing Studies, 2021, vol. 11, issue 4, 695-734
Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks are regressed on its lagged portfolio weights. Stock fixed effects isolate average performance from time-series predictive ability. Control variables condition for fund performance on the characteristics of the stocks held. The long-term performance of average holdings drives some of the classical measures, while predictive ability drives others. A “buy-and-hold drift,” where portfolio weights increase over time in the higher alpha stocks, affects performance measures. Investor flows respond to average performance net of the buy-and-hold drift. (JEL G11, G14, G23, G29).
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:11:y:2021:i:4:p:695-734.
Access Statistics for this article
The Review of Asset Pricing Studies is currently edited by Zhiguo He
More articles in The Review of Asset Pricing Studies from Oxford University Press
Bibliographic data for series maintained by Oxford University Press ().