Performance evaluation with transactions data: The stock selection of investment newsletters

• 成果类型: Article
• 署名作者: Metrick, A
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00165
• 发表日期: 1999
• 页码: 1743-1775
• 关键词: MUTUAL FUND PERFORMANCE; MARKET-EFFICIENCY; returns; recommendations; persistence; INFORMATION; issues; BIAS; RISK

摘要

This paper analyzes the equity-portfolio recommendations made by investment newsletters. Overall, there is no significant evidence of superior stock-picking ability for this sample of 153 newsletters. Moreover, there is no evidence of abnormal short-run performance persistence (hot hands). The comprehensive and bias-free transactions database also allows for insights into the precision of performance evaluation. Using a measure of precision defined in the paper, a transactions-based approach yields a median improvement of 10 percent over a corresponding factor model. This compares favorably with the precision gained by adding factors to the CAPM.