The J-shape of performance persistence given survivorship bias

Review of Economics and Statistics

Volumn 79, Issue 2, 1997, Pages 161-166

  Hendricks, Darryll ^a   Patel, Jayendu ^a   Zeckhauser, Richard ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039560598     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465397556575     Document Type: Article

References (11)

1. Brown, S., W. Goetzmann, R. Ibbotson, and S. Ross, "Survivorship Bias in Performance Studies," Review of Financial Studies 5 (1992), 553-580.
2. Goetzmann, W., and R. Ibbotson, "Do Winners Repeat?" Journal of Portfolio Management (Winter 1994), 9-18.
3. Heckman, J., "The Common Structure of Statistical Models of Truncation, Sample Selection, and Limited Dependent Variables and a Simple Estimator for Such Models," Annals of Economic and Social Measurement 5 (1976), 475-492.
4. _ "Varieties of Selection Bias," American Economic Review Papers and Proceedings 80 (1990), 313-318.
5. Heckman, J., and B. Honoré, "The Empirical Content of the Roy Model," Econometrica 58 (1990), 1121-1149.
6. Hendricks, D., J. Patel, and R. Zeckhauser, "Hot Hands in Mutual Funds: Short-Run Persistence of Performance, 1974-88," Journal of Finance 48 (1993), 91-130.
7. McNees, S., and J. Ries, "The Track Record of Macroeconomic Forecasts," New England Economic Review (Nov./Dec. 1983), 5-18.
8. Patel, J., R. Zeckhauser, and D. Hendricks, "Investment Flows and Performance: Evidence from Mutual Funds, Cross-Border Investments, and New Issues," in R. Sato, R. Levich, and R. Ramachandran (eds.), Japan, Europe, and International Financial Markets: Analytical and Empirical Perspectives (New York: Cambridge University Press, 1994), chap. 4, 51-72.
9. Steckler, H., "Who Forecasts Better?" Journal of Business and Economic Statistics 5 (1987), 155-158.
10. Tobin, J., "Estimation of Relationships for Limited Dependent Variables," Econometrica 26 (1958), 24-36.
11. Zhou, G., "Asset-Pricing Tests under Alternative Distributions," Journal of Finance 48 (1993), 1927-1942.