A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Journals
Publication year
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance.
Resource type
Authors/contributors
- Christopherson, Jon A (Author)
- Ferson, Wayne E (Author)
- Glassman, Debra A (Author)
Title
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance.
Abstract
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.
Publication
Review of Financial Studies
Volume
11
Issue
1
Pages
111-42
Date
1998
Citation
Christopherson, J. A., Ferson, W. E., & Glassman, D. A. (1998). Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. Review of Financial Studies, 11, 111–142.
Journals
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