Estimating Short-Run Persistence in Mutual Fund Performance
分析了几种估计共同基金回报短期持续性的方法，发现调整预期回报的横截面差异会导致估计偏差，产生虚假持续性，且结果对估计方法敏感。
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show that these biases cannot be neglected for the samples that are typically used in applied work. We also estimate the short-run persistence in two samples of U.S. open-end mutual funds using quarterly returns for 1987-1994. An important conclusion is that the results are quite sensitive to the estimation method that is employed. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology