Conditioning manager alphas on economic information: Another look at the persistence of performance

• 成果类型: Article
• 署名作者: Christopherson, JA; Ferson, WE; Glassman, DA
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/11.1.111
• 发表日期: 1998
• 页码: 111
• 关键词: MUTUAL FUND PERFORMANCE; consistent covariance-matrix; Expected returns; SURVIVORSHIP BIAS; cross-section; RISK; heteroskedasticity; predictability; selectivity; industry

摘要

This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach, using time-varying measures of risk and abnormal performance, is better able to detect this persistence and to predict the future performance of the funds than are traditional methods.