Biases in decomposing holding period portfolio returns

A growing number of studies in finance decompose multi-period buy-and-hold portfolioreturns into a series of single period returns. The method used to decomposethese returns is important because researchers use them in tests of asset pricing modelsand market efficiency and in evaluating the returns to investment strategies suchas those based on momentum and value–growth....

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Year of publication:	2006
Authors:	Liu, Weimin ; Strong, Norman
Institutions:	Manchester Business School
Subject:	Portfolio Selection \| Transaktionskosten \| Portfoliomanagement \| portfolio management \| Markteffizienz \| Bias \| bias

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Extent:	32 p. 193,99 p. application/pdf
Series:	Manchester Business School - Research - Working Papers Working paper ; No. 469 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869998