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Conditional Performance Measurement Using Portfolio Weights : Evidence for Pension Funds

Ferson, Wayne - 2002

This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

Persistent link: https://www.econbiz.de/10012469925

The effect of lender and loan type on a borrowing firm's equity return

Khang, Kenneth; Byers, Steven S. - In: Applied economics 49 (2017) 41, pp. 4099-4115

Persistent link: https://www.econbiz.de/10011820025

Conditional performance measurement using portfolio weights: evidence for pension funds

Ferson, Wayne; Khang, Kenneth - In: Journal of Financial Economics 65 (2002) 2, pp. 249-282

Persistent link: https://www.econbiz.de/10005362610

On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads

King, Tao-Hsien Dolly; Khang, Kenneth - In: Journal of banking & finance 29 (2005) 12, pp. 3141-3158

Persistent link: https://www.econbiz.de/10005879741

Does Dividend Policy Relate to Cross-Sectional Variation in Information Asymmetry? Evidence from Returns to Insider Trades

Khang, Kenneth; King, Tao-Hsien Dolly - In: Financial management 35 (2006) 4, pp. 71-94

Persistent link: https://www.econbiz.de/10007399091

Conditional performance measurement using portfolio weights: evidence for pension funds

Ferson, Wayne; Khang, Kenneth - In: Journal of financial economics 65 (2002) 2, pp. 249-282

Persistent link: https://www.econbiz.de/10006508784

Short horizon liquidity and trading activity in the US Treasury market: do inventory holding costs matter?

Khang, Kenneth; King, Tao-Hsien Dolly - In: Applied financial economics 20 (2010) 14, pp. 1085-1099

Persistent link: https://www.econbiz.de/10008437721

CONDITIONAL PERFORMANCE MEASUREMENT USING PORTFOLIO WEIGHTS: EVIDENCE FOR PENSION FUNDS

Ferson, Wayne; Khang, Kenneth - 2002

Persistent link: https://www.econbiz.de/10006975208

Does Dividend Policy Relate toCross-Sectional Variation in Information Asymmetry? Evidence from Returns to Insider Trades

Khang, Kenneth; King, Tao-Hsien Dolly - In: Financial Management 35 (2006) 4

We examine the relation between dividends and information asymmetry by using insider returns as a proxy for information asymmetry. We find that dividends are negatively related to returns to insider trades across firms. Firms that pay consistently high dividends have lower insider returns than...

Persistent link: https://www.econbiz.de/10005704374

Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds

Ferson, Wayne; Khang, Kenneth - National Bureau of Economic Research (NBER) - 2002

Persistent link: https://www.econbiz.de/10005718904