The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Survivorship bias and attrition effects in measures of performance persistence
Open accessAbstract
We simulate standard tests of performance persistence using alternative return-generating processes, survival criteria, and test methodologies. When survival depends on performance over several periods, survivorship bias induces spurious reversals, despite the presence of cross-sectional heteroskedasticity in performance. Look-ahead biased methodologies and missing final returns typical of U.S. mutual fund datasets can also materially affect persistence measures. Our results reinforce previous findings that U.S. mutual fund performance is truly persistent. When fund performance is truly persistent, fund attrition affects persistence measures, even when the sample includes all nonsurvivor returns. We also examine the specification and power of the various persistence tests.
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Citations
Cites
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
Brown, S. J., Goetzmann, W. N., & Park, J. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00392 · Cited by 474
Do after-tax returns affect mutual fund inflows?
Bergstresser, D., & Poterba, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00066-1 · Cited by 312
Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
Baquero, G., ter Horst, J., & Verbeek, M. (2005) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109000001848 · Cited by 305
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Hasanhodzic, J., & Lo, A. W. (2006) · SSRN Electronic Journal · doi:10.2139/ssrn.924565 · Cited by 286
Carhart, M. M., Carpenter, J. N., Lynch, A. W., & Musto, D. K. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.5.1439 · Cited by 268
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Metadata
- Authors
- Carpenter, J. N., & Lynch, A. W.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1999-12
- Volume
- 54
- Issue
- 3
- Pages
- 337-374
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2106513880
- Cited by
- 310
- References
- 3
- FWCI
- 15.04
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Carpenter, J. N., & Lynch, A. W. (1999). Survivorship bias and attrition effects in measures of performance persistence. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(99)00040-9
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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