Investment performance depends on return measurement horizon. The percentage of U.S. equity mutual funds that outperform the SPY is 46.9% in monthly returns, 39.9% in annual returns, and 29.5% in full-sample (1991-2008) returns. Further, true alphas vary with return measurement horizon, and the...

We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight events where abnormal returns have been documented, including...

Alpha depends on return measurement horizon, both theoretically and empirically. We demonstrate how alphas depend on horizon, introduce a procedure to estimate long-return-horizon alphas from short-horizon returns, and find that among those mutual funds with positive alphas estimated from...

We show that characteristics known to predict returns to U.S. stocks also predict returns for a broad sample of nearly 52,000 stocks from fifty-eight non-U.S. countries, and we evaluate the extent to which six prominent corporate events, including initial and secondary stock offerings, stock...

Mutual fund flows are negatively related to fund performance more than about five years prior. This finding holds for both institutional and retail share classes, and across fund style categories. We develop and test the investor disappointment hypothesis, which holds that those who forecast...

The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon abnormal returns. These results...