The J-Shape of Performance Persistence Given Survivorship Bias
从理论和模拟上证明，当按业绩精细分组时，生存偏差会导致虚假的J形持续性（即低业绩组中上一期好业绩反而预测下一期差业绩），并提出用回归二次项系数的t检验区分真假持续性，以共同基金为例验证了真实业绩持续性的单调递增模式。
Performance may enhance survival probability. When it does, the induced lack of randomness challenges robust and unbiased inference. If survivors are sorted into two groups based on past performance, spurious persistence has been demonstrated if variance in performance is heterogeneous. However, as we show both theoretically and with simulations, if performance is categorized finely, the spurious persistence will be J - shaped; that is, at the bottom better performance in one period "predicts" worse performance for another period. We propose a simple t - test applied to the quadratic coefficient in a regression to distinguish between a spurious J - shape and monotonic patterns. Mutual funds, our example, exhibit the monotonically increasing pattern produced by true performance persistence. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology