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Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters

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  • Andrew Metrick

    (Harvard University and NBER)

Abstract

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. Copyright The American Finance Association 1999.

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Bibliographic Info

Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 54 (1999)
Issue (Month): 5 (October)
Pages: 1743-1775

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Handle: RePEc:bla:jfinan:v:54:y:1999:i:5:p:1743-1775

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