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作者：Carhart, MM; Carpenter, JN; Lynch, AW; Musto, DK
作者单位：New York University; University of Pennsylvania
摘要：This article provides a comprehensive study of survivorship issues using the mutual fund data of Carhart (1997). We demonstrate theoretically that when survival depends on multiperiod performance, the survivorship bias in average performance typically increases with the sample length. This is empirically relevant because evidence suggests a multiyear survival rule for U.S. mutual funds. In the data we find the annual bias increases from 0.07% for 1-year samples to 1% for samples longer than 15...
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作者：Biais, B; Germain, L
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
摘要：An informed financial institution can trade on private information and also sell it to clients through a managed fund. To provide an incentive for the informed agent to trade in the interest of her client, the optimal contract requires that she be compensated as an increasing function of the profits of the fund. The optimal contract is also designed to limit the aggressiveness of the sum of the fund's trade and the proprietary trade. This reduces information revelation and thus leads to greate...
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作者：Daniel, K
作者单位：Northwestern University; National Bureau of Economic Research
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作者：Lewellen, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article studies momentum in stock returns, focusing on the role of industry, size, and book-to-market (B/M) factors. Size and B/M portfolios exhibit momentum as strong as that in individual stocks and industries. The size and B/M portfolios are well diversified, so momentum cannot be attributed to firm- or industry-specific returns. Further, industry, size, and B/M portfolios are negatively autocorrelated and cross-serially correlated over intermediate horizons. The evidence suggests that...
