Performance Persistence of Pension Fund Managers
Tonks, Ian
Date: 2004
Working Paper
Publisher
University of Exeter, Xfi Centre for Finance and Investment
Abstract
Previous work on UK pension funds found only slight evidence of fund manager persistence, but
survivorship bias in the construction of these data samples, may have disguised true persistence. Using
a large sample of pension funds over the period 1983-97 in which there is less survivorship bias, we
find strong evidence of persistence ...
Previous work on UK pension funds found only slight evidence of fund manager persistence, but
survivorship bias in the construction of these data samples, may have disguised true persistence. Using
a large sample of pension funds over the period 1983-97 in which there is less survivorship bias, we
find strong evidence of persistence in abnormal returns generated by fund managers over one year time
horizons, but weaker evidence over longer horizons. Even when an allowance is made for momentum
in stock returns, we find pension fund managers exhibit performance persistence.
Finance and Accounting
Faculty of Environment, Science and Economy
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