Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters
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. Copyright The American Finance Association 1999.
Year of publication: |
1999
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Authors: | Metrick, Andrew |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 54.1999, 5, p. 1743-1775
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Publisher: |
American Finance Association - AFA |
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