Performance and persistence in institutional investment management

Jeffrey A. Busse, Amit Goyal, Sunil Wahal

Research output: Contribution to journalArticle

101 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)765-790
Number of pages26
JournalJournal of Finance
Volume65
Issue number2
DOIs
StatePublished - Apr 2010

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Institutional investment
Investment management
Persistence
Fama-French three-factor model
Factors
Survivorship bias
Equity
Momentum

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Performance and persistence in institutional investment management. / Busse, Jeffrey A.; Goyal, Amit; Wahal, Sunil.

In: Journal of Finance, Vol. 65, No. 2, 04.2010, p. 765-790.

Research output: Contribution to journalArticle

Busse, Jeffrey A. ; Goyal, Amit ; Wahal, Sunil. / Performance and persistence in institutional investment management. In: Journal of Finance. 2010 ; Vol. 65, No. 2. pp. 765-790.
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