Reverse Survivorship Bias

• 成果类型: Article
• 署名作者: Linnainmaa, Juhani T.
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12030
• 发表日期: 2013
• 页码: 789-813
• 关键词: MUTUAL FUND PERFORMANCE; TOP MANAGEMENT TURNOVER; stocks; RISK; luck

摘要

Mutual funds often disappear following poor performance. When this poor performance is partly attributable to negative idiosyncratic shocks, funds' estimated alphas understate their true alphas. This paper estimates a structural model to correct for this bias. Although most funds still have negative alphas, they are not nearly as low as those suggested by the fund-by-fund regressions. Approximately 12% of funds have net four-factor model alphas greater than 2% per year. All studies that run fund-by-fund regressions to draw inferences about the prevalence of skill among mutual fund managers are subject to reverse survivorship bias.