Biases in decomposing holding-period portfolio returns

• 成果类型: Article
• 署名作者: Liu, Weimin; Strong, Norman
• 署名单位: University of Nottingham; University of Manchester
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl034
• 发表日期: 2008
• 页码: 2243
• 关键词: MUTUAL FUND PERFORMANCE; EXPECTED STOCK-RETURNS; Bid-ask spread; cross-section; MARKET OVERREACTION; individual investors; COMPUTED RETURNS; MOMENTUM PROFITS; strategies; EFFICIENCY

摘要

A growing number of studies in finance decompose multiperiod portfolio returns into a series of single-period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum, size, and value-growth. We provide a formal analysis of the decomposition method. Crucially, we argue and present empirical evidence that some methods researchers use involve portfolios that nobody would seriously consider ex ante, that transactions costs associated with such portfolios make them poor investment vehicles, and that they can lead to spurious statistical inferences.