Mutual Fund Survivorship

Author: Mark M. Carhart

"Survivorship induces a variety of biases in mutual fund research. I show analytically that biases in performance estimates depend on sample length and whether funds disappear after one or many poor returns. Using a sample free of survivor bias, I document higher risk and predominantly multiple year underperformance in non-surviving funds. This causes the bias in mean return estimates to increase in the time-length of the sample..."



Mutual Fund Surviorship
Source: http://www.jstor.org/stable/1262660?Search=ye...

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