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Performance and Persistence in Institutional Investment Management
Author(s) -
BUSSE JEFFREY A.,
GOYAL AMIT,
WAHAL SUNIL
Publication year - 2010
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.2009.01550.x
Subject(s) - persistence (discontinuity) , survivorship curve , equity (law) , economics , investment (military) , econometrics , momentum (technical analysis) , demographic economics , financial economics , demography , political science , sociology , engineering , geotechnical engineering , politics , law , population
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.