Performance Persistence of Pension-Fund Managers
Previous 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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- Jennifer Carpenter & Anthony Lynch, 1998.
"Survivorship Bias and Attrition Effects in Measures of Performance Persistence,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-077, New York University, Leonard N. Stern School of Business-.
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