SURVIVORSHIP BIAS IN PERFORMANCE STUDIES
SURVIVORSHIP BIAS IN PERFORMANCE STUDIES
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DOI：
10.1093/rfs/5.4.553
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发表时间：
1992-01-01
影响因子：
8.2
通讯作者：
ROSS, SA
中科院分区：
文献类型：
--
作者：
BROWN, SJ;GOETZMANN, W;ROSS, SA
最近的证据表明，过去的共同基金业绩预测未来的业绩。我们分析了波动性和收益率之间的关系，在样本中，截断生存，并表明这种关系引起的外观的可预测性。我们提出了一些数值例子来表明，这种影响可以是强大的，足以说明有利于回报可预测性的证据的强度。
Recent evidence suggests that past mutual fund performance predicts future performance. We analyze the relationship between volatility and returns in a sample that is truncated by survivorship and show that this relationship gives rise to the appearance of predictability. We present some numerical examples to show that this effect can be strong enough to account for the strength of the evidence favoring return predictability.