Performance Persistence of Pension-Fund Managers
AbstractPrevious work on U.K. pension funds found only slight evidence of fund manager persistence but survivorship bias in the construction of these data samples may have disguised true persistence. Using a large sample of pension funds over the period 198397 in which there is less survivorship bias, we find strong evidence of persistence in abnormal returns generated by fund managers over 1-year time horizons but weaker evidence over longer horizons. Even when an allowance is made for momentum in stock returns, we find pension-fund managers exhibit performance persistence.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 78 (2005)
Issue (Month): 5 (September)
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Web page: http://www.journals.uchicago.edu/JB/
Other versions of this item:
- Ian Tonks, 2002. "Performance persistence of pension fund managers," LSE Research Online Documents on Economics 24942, London School of Economics and Political Science, LSE Library.
- Tonks, Ian, 2002. "Performance Persistence of Pension Fund Managers," Royal Economic Society Annual Conference 2002 175, Royal Economic Society.
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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