Abstract
It is shown that as long as the ″true″ horizon does not coincide with the horizon assumed in the empirical research, the one-parameter indexes contain a systematic bias, even when one assumes a perfect market. In conducting empirical research or in evaluating the performance of the management of a portfolio, more attention should be devoted to the selection of the investment horizon, since the magnitude as well as the direction of the systematic bias is a function of this factor.
Original language | English |
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Pages (from-to) | b645-b653 |
Journal | Management Science |
Volume | 18 |
Issue number | 12 |
DOIs | |
State | Published - 1972 |