Performance and Persistence in Institutional Investment Management
Performance and Persistence in Institutional Investment Management
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DOI：
10.1111/j.1540-6261.2009.01550.x
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发表时间：
2010-04-01
影响因子：
8
通讯作者：
Wahal, Sunil
中科院分区：
文献类型：
--
作者：
Busse, Jeffrey A.;Goyal, Amit;Wahal, Sunil
使用新的、无生存偏差的数据，我们研究了 1991 年至 2008 年间由 1,448 家投资管理公司管理的 4,617 种活跃国内股票机构产品的表现和持续性。控制 Fama-French (1993) 的三个因素和动量，阿尔法的总体和平均估计在统计上与零没有区别。尽管性能存在相当大的异质性，但三因素模型中只有有限的持久性证据，而四因素模型中几乎没有持久性的证据。
Using new, survivorship bias-free data, we examine the performance and persistence in performance of 4,617 active domestic equity institutional products managed by 1,448 investment management firms between 1991 and 2008. Controlling for the Fama-French (1993) three factors and momentum, aggregate and average estimates of alphas are statistically indistinguishable from zero. Even though there is considerable heterogeneity in performance, there is only modest evidence of persistence in three-factor models and little to none in four-factor models.