Benchmarking benchmarks: Measuring characteristic selectivity using equity portfolio holdings data

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Journal Article
Accounting and Finance, 2008, 48 (5), pp. 761 - 781
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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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