| ชื่อเรื่อง | : | Benchmarking money manager performance : issues and evidence |
| นักวิจัย | : | Chan, Louis K. C. , Dimmock, Stephen G. , Lakonishok, Josef |
| คำค้น | : | DRNTU::Business::Finance::Money |
| หน่วยงาน | : | Nanyang Technological University, Singapore |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2552 |
| อ้างอิง | : | Chan, L. K. C., Dimmock, S. G., & Lakonishok, J. (2009). Benchmarking Money Manager Performance: Issues and Evidence. The Review of Financial Studies, 4553-4599. , 1556-5068 , http://hdl.handle.net/10220/17808 , http://dx.doi.org/10.2139/ssrn.921915 |
| ที่มา | : | - |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | The review of financial studies |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | 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. |
| บรรณานุกรม | : |
Chan, Louis K. C. , Dimmock, Stephen G. , Lakonishok, Josef . (2552). Benchmarking money manager performance : issues and evidence.
กรุงเทพมหานคร : Nanyang Technological University, Singapore. Chan, Louis K. C. , Dimmock, Stephen G. , Lakonishok, Josef . 2552. "Benchmarking money manager performance : issues and evidence".
กรุงเทพมหานคร : Nanyang Technological University, Singapore. Chan, Louis K. C. , Dimmock, Stephen G. , Lakonishok, Josef . "Benchmarking money manager performance : issues and evidence."
กรุงเทพมหานคร : Nanyang Technological University, Singapore, 2552. Print. Chan, Louis K. C. , Dimmock, Stephen G. , Lakonishok, Josef . Benchmarking money manager performance : issues and evidence. กรุงเทพมหานคร : Nanyang Technological University, Singapore; 2552.
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