Performance Persistence in Institutional Investment Management
Details
Serval ID
serval:BIB_CA26C8201D85
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Performance Persistence in Institutional Investment Management
Journal
Journal of Finance
ISSN
0022-1082
Publication state
Published
Issued date
04/2010
Peer-reviewed
Oui
Volume
65
Number
2
Pages
765-790
Language
english
Abstract
Using new, survivorship bias-free data, we examine the performance and persistence in performance of 4,617 active domestic equity institutional products managed by 1,448 investment management firms between 1991 and 2008. Controlling for the Fama-French (1993) three factors and momentum, aggregate and average estimates of alphas are statistically indistinguishable from zero. Even though there is considerable heterogeneity in performance, there is only modest evidence of persistence in three-factor models and little to none in four-factor models.
Keywords
Mutual fund performance, returns, risk, information, stocks
Web of science
Create date
10/08/2009 13:32
Last modification date
20/08/2019 16:45