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Kent Daniel, Mark Grinblatt, Sheridan Titman, Russ Wermers, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, The Journal of Finance, Vol. 52, No. 3, Papers and Proceedings Fifty-Seventh Annual Meeting, American Finance Association, New Orleans, Louisiana January 4-6, 1997 (Jul., 1997), pp. 1035-1058
Daniel et al. (Tue,) studied this question.