Review of Finance Vol. 15 No. 2 2011
Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences
Abstract
This is the first paper systematically calculating, testing and explaining different definitions of the survivorship bias in fund performance. We document that the survival-performance-relation is stronger for small funds and we find significant under-performance of non-survivors but no significant out-performance of new funds. Survivorship bias is still a problem as well in other fields of research, e.g., in countries where survivorship bias-free data is not available and because certain methods require truncated data. This paper provides guidance on how to deal with and reduce survivorship bias in empirical studies.
- DOI
- 10.1093/rof/rfq023
- Volume
- 15
- Issue
- 2
- Pages
- 441-474
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref