Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters
分析了153份投资通讯的股票推荐，未发现显著的选股能力或短期业绩持续性，并证明基于交易数据的评估方法比因子模型更精确。
This paper analyzes the equity‐portfolio recommendations made by investment newsletters. Overall, there is no significant evidence of superior stock‐picking ability for this sample of 153 newsletters. Moreover, there is no evidence of abnormal short‐run performance persistence (“hot hands”). The comprehensive and bias‐free transactions database also allows for insights into the precision of performance evaluation. Using a measure of precision defined in the paper, a transactions‐based approach yields a median improvement of 10 percent over a corresponding factor model. This compares favorably with the precision gained by adding factors to the CAPM.