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| Tekijä: | Gomez, J.-P. Zapatero, F. |
| Otsikko: | Asset pricing implications of benchmarking: a two-factor CAPM |
| Lehti: | European Journal of Finance
2003 : AUG, VOL. 9:4, p. 343-357 |
| Asiasana: | Asset valuation Pricing Benchmarking Portfolio investment Performance appraisal |
| Kieli: | eng |
| Tiivistelmä: | The paper considers the equilibrium effects of an institutional investor whose performance is benchmarked to an index. The empirical test supports the model's predictions. The cross-section return on the active management risk is positive and significant, especially after 1990, when institutional investors became the representative agent of the market. |
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