haku: @author Bird, R. / yhteensä: 8
viite: 4 / 8
| Tekijä: | Bird, R. Gallagher, D. R. |
| Otsikko: | The evaluation of active manager returns in a non- symmetrical environment |
| Lehti: | Journal of Asset Management
2002 : MAR, VOL. 2:4, p. 303-325 |
| Asiasana: | MANAGEMENT MANAGERS ENVIRONMENT |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the moments of the active return distributions of investment managers. While modern portfolio theory assumes asset return distributions are Gaussian normal, the empirical evidence overwhelmingly documents asset returns to be leptokurtic and fat tailed. In addition, the evaluation of investment manager performance has relied almost exclusively on the Capital Asset Pricing Model (CAPM), which assumes investors are only concerned with the interaction between the first and second moments of a return distribution - mean and variance. Little empirical work exists, however, evaluating the implications for performance measurement methods of taking into account the higher moments of active return distributions - namely skewness and kurtosis. |
SCIMA