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Survivorship bias in performance studies |
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| Authors: | Brown SJ; Goetzmann W; Ibbotson RG; Ross SA |
| Institution: | 1 Department of Finance, Stern School of Business, New York University, 44 W 4th Street, New York, NY 10012-1126, USA 2 Columbia University, USA 3 Yale University, USA z Corresponding author |
| Abstract: | Recent evidence suggests that past mutual fund performance predictsfuture performance. We analyze the relationship between volatilityand returns in a sample that is truncated by survivorship andshow that this relationship gives rise to the appearance ofpredictability. We present some numerical examples to show thatthis effect can be strong enough to account for the strengthof the evidence favoring return predictability. |
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