Conditioning manager alphas on economic information: Another look at the persistence of performance

被引:182
作者
Christopherson, JA [1 ]
Ferson, WE [1 ]
Glassman, DA [1 ]
机构
[1] Univ Washington, Seattle, WA 98195 USA
关键词
D O I
10.1093/rfs/11.1.111
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach, using time-varying measures of risk and abnormal performance, is better able to detect this persistence and to predict the future performance of the funds than are traditional methods.
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页码:111 / 142
页数:32
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