Brown, Stephen J.; Goetzmann, William N.; Ibbotson, Roger G. - In: The Review of Economics and Statistics 79 (1997) 2, pp. 167-170
Hendricks, Patel, and Zeckhauser (1997) (HPZ) find that the response of current to past returns for mutual funds in the presence of survivorship is nonlinear. In our rejoinder to their paper, we verify their results through simulation, provide some intuition for why the result is true, and...
