메뉴 건너뛰기




Volumn 21, Issue 5, 2008, Pages 2243-2274

Biases in decomposing holding-period portfolio returns

Author keywords

[No Author keywords available]

Indexed keywords


EID: 52449091284     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhl034     Document Type: Article
Times cited : (80)

References (52)
  • 2
    • 0002443243 scopus 로고
    • Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies
    • Ball, R., S. P. Kothari, and J. Shanken. 1995. Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies. Journal of Financial Economics 38:79-107.
    • (1995) Journal of Financial Economics , vol.38 , pp. 79-107
    • Ball, R.1    Kothari, S.P.2    Shanken, J.3
  • 3
    • 0039647006 scopus 로고    scopus 로고
    • Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms
    • Barber, B. M., and J. D. Lyon. 1997. Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms. Journal of Finance 52:875-83.
    • (1997) Journal of Finance , vol.52 , pp. 875-883
    • Barber, B.M.1    Lyon, J.D.2
  • 4
    • 0037497348 scopus 로고    scopus 로고
    • Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
    • Barber, B. M., and T. Odean. 2000. Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance 55:773-806.
    • (2000) Journal of Finance , vol.55 , pp. 773-806
    • Barber, B.M.1    Odean, T.2
  • 5
    • 0001651803 scopus 로고
    • Biases in Computed Returns: An Application to the Size Effect
    • Blume, M. E., and R. F. Stambaugh. 1983. Biases in Computed Returns: An Application to the Size Effect. Journal of Financial Economics 12:387-404.
    • (1983) Journal of Financial Economics , vol.12 , pp. 387-404
    • Blume, M.E.1    Stambaugh, R.F.2
  • 6
    • 25644453074 scopus 로고    scopus 로고
    • Short-term Persistence in Mutual Fund Performance
    • Bollen, N., and J. A. Busse. 2005. Short-term Persistence in Mutual Fund Performance. Review of Financial Studies 18:569-97.
    • (2005) Review of Financial Studies , vol.18 , pp. 569-597
    • Bollen, N.1    Busse, J.A.2
  • 7
    • 0000263644 scopus 로고
    • Bid-ask Spreads on the AMEX and Big Board
    • Branch, B., and W. Freed. 1977. Bid-ask Spreads on the AMEX and Big Board. Journal of Finance 32:159-63.
    • (1977) Journal of Finance , vol.32 , pp. 159-163
    • Branch, B.1    Freed, W.2
  • 8
    • 0002624840 scopus 로고    scopus 로고
    • On Persistence in Mutual Fund Performance
    • Carhart, M. 1997. On Persistence in Mutual Fund Performance. Journal of Finance 52:57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 9
    • 0142087691 scopus 로고    scopus 로고
    • Stock Price Reaction to News and No-News: Drift and Reversal after Headlines
    • Chan, W. S. 2003. Stock Price Reaction to News and No-News: Drift and Reversal after Headlines. Journal of Financial Economics 70:223-60.
    • (2003) Journal of Financial Economics , vol.70 , pp. 223-260
    • Chan, W.S.1
  • 12
    • 0042594655 scopus 로고    scopus 로고
    • Momentum, Business Cycle, and Time-varying Expected Returns
    • Chordia, T., and L. Shivakumar. 2002. Momentum, Business Cycle, and Time-varying Expected Returns. Journal of Finance 57:985-1019.
    • (2002) Journal of Finance , vol.57 , pp. 985-1019
    • Chordia, T.1    Shivakumar, L.2
  • 13
    • 74949097020 scopus 로고    scopus 로고
    • Who Underreacts to Cash- Flow News? Evidence from Trading Between Individuals and Institutions
    • Cohen, R. B., P. A. Gompers, and T. Vuolteenaho. 2002. Who Underreacts to Cash- Flow News? Evidence from Trading Between Individuals and Institutions. Journal of Financial Economics 66:409-62.
    • (2002) Journal of Financial Economics , vol.66 , pp. 409-462
    • Cohen, R.B.1    Gompers, P.A.2    Vuolteenaho, T.3
  • 14
    • 19944387251 scopus 로고    scopus 로고
    • Judging Fund Managers by the Company They Keep
    • Cohen, R. B., J. D. Coval, and L. Pástor. 2005. Judging Fund Managers by the Company They Keep. Journal of Finance 60:1057-96.
    • (2005) Journal of Finance , vol.60 , pp. 1057-1096
    • Cohen, R.B.1    Coval, J.D.2    Pástor, L.3
  • 15
    • 84993918492 scopus 로고
    • Long-term Market Overreaction or Biases in Computed Returns?
    • Conrad, J., and G. Kaul. 1993. Long-term Market Overreaction or Biases in Computed Returns? Journal of Finance 48:39-63.
    • (1993) Journal of Finance , vol.48 , pp. 39-63
    • Conrad, J.1    Kaul, G.2
  • 17
  • 18
    • 0039561990 scopus 로고    scopus 로고
    • Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
    • Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. 1997. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks. Journal of Finance 52:1035-58.
    • (1997) Journal of Finance , vol.52 , pp. 1035-1058
    • Daniel, K.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 19
    • 84977737676 scopus 로고
    • The Cross-section of Expected Stock Returns
    • Fama, E. F., and K. R. French. 1992. The Cross-section of Expected Stock Returns. Journal of Finance 47:427-65.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 20
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor Explanations of Asset Pricing Anomalies
    • Fama, E. F., and K. R. French. 1996. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance 51:55-84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.F.1    French, K.R.2
  • 21
    • 11544342489 scopus 로고    scopus 로고
    • Value versus Growth: The International Evidence
    • Fama, E. F., and K. R. French. 1998. Value versus Growth: The International Evidence. Journal of Finance 53:1975-99.
    • (1998) Journal of Finance , vol.53 , pp. 1975-1999
    • Fama, E.F.1    French, K.R.2
  • 22
    • 0000754261 scopus 로고
    • Some New Stock Market Indices
    • Fisher, L. 1966. Some New Stock Market Indices. Journal of Business 29:191-225.
    • (1966) Journal of Business , vol.29 , pp. 191-225
    • Fisher, L.1
  • 24
    • 0035581626 scopus 로고    scopus 로고
    • Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing
    • Grundy, B. D., and J. S. Martin. 2001. Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing. Review of Financial Studies 14:29-78.
    • (2001) Review of Financial Studies , vol.14 , pp. 29-78
    • Grundy, B.D.1    Martin, J.S.2
  • 25
    • 27944503334 scopus 로고    scopus 로고
    • Profitable Predictability in the Cross Section of Stock Returns
    • Hanna, J. D., and M. J. Ready. 2005. Profitable Predictability in the Cross Section of Stock Returns. Journal of Financial Economics 78:463-505.
    • (2005) Journal of Financial Economics , vol.78 , pp. 463-505
    • Hanna, J.D.1    Ready, M.J.2
  • 26
    • 0030191640 scopus 로고    scopus 로고
    • Commonality in the Determinants of Expected Stock Returns
    • Haugen, R., and N. Baker. 1996. Commonality in the Determinants of Expected Stock Returns. Journal of Financial Economics 41:401-40.
    • (1996) Journal of Financial Economics , vol.41 , pp. 401-440
    • Haugen, R.1    Baker, N.2
  • 27
    • 4344582749 scopus 로고    scopus 로고
    • Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies
    • Hogan, S., R. Jarrow, M. Teo, and M. Warachka. 2004. Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies. Journal of Financial Economics 73:525-65.
    • (2004) Journal of Financial Economics , vol.73 , pp. 525-565
    • Hogan, S.1    Jarrow, R.2    Teo, M.3    Warachka, M.4
  • 28
    • 84993907227 scopus 로고
    • Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
    • Jegadeesh, N., and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48:65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 30
    • 0002927733 scopus 로고
    • Price Reversals: Bid-ask Errors or Market Overreaction
    • Kaul, G., and M. Nimalendran. 1990. Price Reversals: Bid-ask Errors or Market Overreaction. Journal of Financial Economics 28:67-93.
    • (1990) Journal of Financial Economics , vol.28 , pp. 67-93
    • Kaul, G.1    Nimalendran, M.2
  • 31
    • 0031498263 scopus 로고    scopus 로고
    • Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades
    • Keim, D., and A. Madhavan. 1997. Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades. Journal of Financial Economics 46:265-93.
    • (1997) Journal of Financial Economics , vol.46 , pp. 265-293
    • Keim, D.1    Madhavan, A.2
  • 32
    • 2942599804 scopus 로고    scopus 로고
    • Are Momentum Profits Robust to Trading Costs?
    • Korajczyk, R. A., and R. Sadka. 2004. Are Momentum Profits Robust to Trading Costs? Journal of Finance 59:1039-82.
    • (2004) Journal of Finance , vol.59 , pp. 1039-1082
    • Korajczyk, R.A.1    Sadka, R.2
  • 34
  • 35
    • 0039842076 scopus 로고    scopus 로고
    • The Diversification Discount: Cash Flows Versus Returns
    • Lamont, O. A., and C. Polk. 2001. The Diversification Discount: Cash Flows Versus Returns. Journal of Finance 56:1693-721.
    • (2001) Journal of Finance , vol.56 , pp. 1693-1721
    • Lamont, O.A.1    Polk, C.2
  • 36
    • 0039647007 scopus 로고    scopus 로고
    • Good News for Value Stocks: Further Evidence of Market Efficiency
    • La Porta, R., J. Lakonishok, A. Shleifer, and R. Vishny. 1997. Good News for Value Stocks: Further Evidence of Market Efficiency. Journal of Finance 52:859-74.
    • (1997) Journal of Finance , vol.52 , pp. 859-874
    • La Porta, R.1    Lakonishok, J.2    Shleifer, A.3    Vishny, R.4
  • 37
    • 0010734388 scopus 로고    scopus 로고
    • Price Momentum and Trading Volume
    • Lee, C. M. C., and B. Swaminathan. 2000. Price Momentum and Trading Volume. Journal of Finance 55:2017-69.
    • (2000) Journal of Finance , vol.55 , pp. 2017-2069
    • Lee, C.M.C.1    Swaminathan, B.2
  • 39
    • 33751007244 scopus 로고    scopus 로고
    • A Liquidity Augmented Capital Asset Pricing Model
    • Liu, W. 2006. A Liquidity Augmented Capital Asset Pricing Model. Journal of Financial Economics 82:631-71.
    • (2006) Journal of Financial Economics , vol.82 , pp. 631-671
    • Liu, W.1
  • 40
    • 0001173683 scopus 로고
    • When Are Contrarian Profits due to Stock Market Overreaction?
    • Lo, A. W., and A. C. Mackinlay. 1990. When Are Contrarian Profits due to Stock Market Overreaction? Review of Financial Studies 3:175-205.
    • (1990) Review of Financial Studies , vol.3 , pp. 175-205
    • Lo, A.W.1    Mackinlay, A.C.2
  • 41
    • 0000276935 scopus 로고
    • Portfolio Return Autocorrelation
    • Mech, T. S. 1993. Portfolio Return Autocorrelation. Journal of Financial Economics 34:307-44.
    • (1993) Journal of Financial Economics , vol.34 , pp. 307-344
    • Mech, T.S.1
  • 43
    • 27244455389 scopus 로고    scopus 로고
    • Short Sales, Institutional Investors and the Cross-Section of Stock Returns
    • Nagel, S. 2005. Short Sales, Institutional Investors and the Cross-Section of Stock Returns. Journal of Financial Economics 78:277-309.
    • (2005) Journal of Financial Economics , vol.78 , pp. 277-309
    • Nagel, S.1
  • 44
    • 0039657040 scopus 로고    scopus 로고
    • Herding and Feedback Trading by Institutional and Individual Investors
    • Nofsinger, J. R., and R. W. Sias. 1999. Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54:2263-95.
    • (1999) Journal of Finance , vol.54 , pp. 2263-2295
    • Nofsinger, J.R.1    Sias, R.W.2
  • 45
    • 0000630954 scopus 로고
    • On Computing Mean Returns and the Small Firm Premium
    • Roll, R. 1983. On Computing Mean Returns and the Small Firm Premium. Journal of Financial Economics 12:371-86.
    • (1983) Journal of Financial Economics , vol.12 , pp. 371-386
    • Roll, R.1
  • 46
    • 84944043652 scopus 로고
    • A Simple Implicit Measure of the Effective Bid-ask Spread in an Efficient Market
    • Roll, R. 1984. A Simple Implicit Measure of the Effective Bid-ask Spread in an Efficient Market. Journal of Finance 39:1127-39.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1139
    • Roll, R.1
  • 47
    • 10944229802 scopus 로고    scopus 로고
    • Does Stock Return Momentum Explain the "Smart Money" Effect?
    • Sapp, T., and A. Tiwari. 2004. Does Stock Return Momentum Explain the "Smart Money" Effect? Journal of Finance 59:2605-22.
    • (2004) Journal of Finance , vol.59 , pp. 2605-2622
    • Sapp, T.1    Tiwari, A.2
  • 48
    • 0038850169 scopus 로고    scopus 로고
    • The Delisting Bias in CRSP's Nasdaq Data and its Implications for the Size Effect
    • Shumway, T., and V. A. Warther. 1999. The Delisting Bias in CRSP's Nasdaq Data and its Implications for the Size Effect. Journal of Finance 54:2361-79.
    • (1999) Journal of Finance , vol.54 , pp. 2361-2379
    • Shumway, T.1    Warther, V.A.2
  • 49
    • 7444260818 scopus 로고    scopus 로고
    • Style Effects in the Cross-Section of Stock Returns
    • Teo, M., and S.-J. Woo. 2004. Style Effects in the Cross-Section of Stock Returns. Journal of Financial Economics 74:367-98.
    • (2004) Journal of Financial Economics , vol.74 , pp. 367-398
    • Teo, M.1    Woo, S.-J.2
  • 50
    • 0006818286 scopus 로고    scopus 로고
    • Mutual Fund Herding and the Impact on Stock Prices
    • Wermers, R. 1999. Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance 54:581-622.
    • (1999) Journal of Finance , vol.54 , pp. 581-622
    • Wermers, R.1
  • 51
    • 0038185576 scopus 로고    scopus 로고
    • Mutual Fund Performance: An Empirical Decomposition into Stock-picking Talent, Style, Transactions Costs, and Expenses
    • Wermers, R. 2000. Mutual Fund Performance: An Empirical Decomposition into Stock-picking Talent, Style, Transactions Costs, and Expenses. Journal of Finance 55:1655-95.
    • (2000) Journal of Finance , vol.55 , pp. 1655-1695
    • Wermers, R.1
  • 52
    • 0000956516 scopus 로고    scopus 로고
    • Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability
    • Zheng, L. 1999. Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability. Journal of Finance 54:901-33.
    • (1999) Journal of Finance , vol.54 , pp. 901-933
    • Zheng, L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.