Performance Persistence of Pension-Fund Managers

Ian Tonks

The Journal of Business, 2005, vol. 78, issue 5, 1917-1942

Abstract: Previous work on U.K. 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 198397 in which there is less survivorship bias, we find strong evidence of persistence in abnormal returns generated by fund managers over 1-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.

Date: 2005
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Related works:
Working Paper: Performance Persistence of Pension Fund Managers (2002)
Working Paper: Performance persistence of pension fund managers (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:78:y:2005:i:5:p:1917-1942

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