Purpose – Glode provides theoretical and empirical evidence that, in aggregate, funds underperform during economic expansions and outperform during contractions. The authors find that this result is not robust to the more appropriate conditional CAPM and to alternative methods for estimating...

Purpose – Glode provides theoretical and empirical evidence that, in aggregate, funds underperform during economic expansions and outperform during contractions. The authors find that this result is not robust to the more appropriate conditional CAPM and to alternative methods for estimating...

This study is divided into two parts. The first examines the long run common stock portfolio performance record of a large sample of individual investors for the period 1971-79. Different performance evaluation models are applied in this direction given the lack of academic consensus on the most...