Pojarliev, Momtchil; Levich, Richard M. - In: Journal of International Money and Finance 29 (2010) 8, pp. 1752-1775
We make use of a new database on daily currency fund manager returns over a three-year period, 2005-2008. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no...