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

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Author Info
Andrew Metrick (Harvard University and NBER)

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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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Publisher 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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  1. Irwin, Scott H. & Jackson, Thomas E. & Good, Darrel L., 1999. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Corn And Soybean Markets Over 1995-1997," AgMAS Project Research Reports 14789, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
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  2. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series iiisdp162, IIIS. [Downloadable!]
  4. Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, . "Estimating the Returns to Insider Trading," Rodney L. White Center for Financial Research Working Papers 19-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  5. Gerlinde Fellner & Werner Güth & Boris Maciejovsky, 2001. "Illusion of Expertise in Portfolio Decisions - An Experimental Approach -," Papers on Strategic Interaction 2001-02, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
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  6. Andersson, Patric, 2004. "How well do financial experts perform? A review of empirical research on performance of analysts, day-traders, forecasters, fund managers, investors, and stockbrokers," Working Paper Series in Business Administration 2004:9, Stockholm School of Economics. [Downloadable!]
  7. Good, Darrel L. & Irwin, Scott H. & Martines-Filho, Joao & Hagedorn, Lewis A., 2005. "The Pricing Performance of Market Advisory Services in Corn and Soybeans over 1995-2003," AgMAS Project Research Reports 14775, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
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  8. Jirik, Mark A. & Irwin, Scott H. & Good, Darrel L. & Jackson, Thomas E. & Martines-Filho, Joao, 2000. "The Performance Of Agricultural Market Advisory Services In Marketing Wheat," 2000 Conference, April 17-18 2000, Chicago, Illinois 18928, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  9. Hackethal, Andreas & Haliassos, Michalis & Jappelli, Tullio, 2009. "Financial Advisors: A Case of Babysitters?," CEPR Discussion Papers 7235, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  10. Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, 1999. "The Profits to Insider Trading: A Performance-Evaluation Perspective," NBER Working Papers 6913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Jirik, Mark A. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao & Jackson, Thomas E., 2001. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Wheat Market Over 1995-1998," AgMAS Project Research Reports 14778, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
  12. Irwin, Scott H. & Good, Darrel L. & Jackson, Thomas E., 2000. "The Private Sector Approach To Grain Marketing: The Case Of Agricultural Market Advisory Services," 2000 Producer marketing and Risk Management Conference, January 13-14, Orlando, FL 19579, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  13. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers 12346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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