Benchmarking benchmarks: Measuring characteristic selectivity using equity portfolio holdings data

Fong, K; Gallagher, DR; Lee, AD

Benchmarking benchmarks: Measuring characteristic selectivity using equity portfolio holdings data

Fong, K Gallagher, DR Lee, AD

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Publisher:: Wiley
Publication Type:: Journal Article
Citation:: Accounting and Finance, 2008, 48 (5), pp. 761 - 781
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Fong, K	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.contributor.author	Lee, AD https://orcid.org/0000-0001-5984-8688	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	Accounting and Finance, 2008, 48 (5), pp. 761 - 781	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10259
dc.description.abstract	This research was funded through an Australian Research Council Linkage Grant (LP0561160) involving Vanguard Investments Australia and Securities Industry Research Centre of Asia-Pacific. We are grateful for the helpful comments from a number of individuals, including an anonymous referee, Doug Foster, Eric Smith, Scott Lawrence and seminar participants at the 19th Australasian Banking & Finance Conference (2006), and the 20th University of Western Australia PhD Conference in Economics and Business (2007). The authors thank Vanguard Investments Australia for research support. The authors also thank the organizers of the 12th Annual Super Bowl of Indexing held in Scottsdale, Arizona, USA (2007), where this paper won the William F. Sharpe Award for best index-related research paper.	en_US
dc.publisher	Wiley	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.relation.isbasedon	10.1111/j.1467-629X.2008.00263.x	en_US
dc.subject.classification	Accounting	en_US
dc.title	Benchmarking benchmarks: Measuring characteristic selectivity using equity portfolio holdings data	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	48	en_US
utslib.for	150201 Finance	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.issue	5	en_US
pubs.volume	48	en_US

Abstract:

This research was funded through an Australian Research Council Linkage Grant (LP0561160) involving Vanguard Investments Australia and Securities Industry Research Centre of Asia-Pacific. We are grateful for the helpful comments from a number of individuals, including an anonymous referee, Doug Foster, Eric Smith, Scott Lawrence and seminar participants at the 19th Australasian Banking & Finance Conference (2006), and the 20th University of Western Australia PhD Conference in Economics and Business (2007). The authors thank Vanguard Investments Australia for research support. The authors also thank the organizers of the 12th Annual Super Bowl of Indexing held in Scottsdale, Arizona, USA (2007), where this paper won the William F. Sharpe Award for best index-related research paper.

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http://hdl.handle.net/10453/10259