Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/226180
Authors: 
Lan, Chunhua
Moneta, Fabio
Wermers, Russ
Year of Publication: 
2018
Series/Report no.: 
CFR Working Paper 15-06
Abstract: 
This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a particular fund is likely to exhibit a higher short-run alpha. The superior long-term performance of long-horizon funds is due to their selection of stocks with strong long-run fundamentals. Moreover, stocks largely held by long-horizon funds outperform stocks largely held by short-horizon funds by 2.7% − 3.5% per year, adjusted for risk, over the following five-year period.
Subjects: 
mutual funds
performance evaluation
investment horizons
selection skills
JEL: 
G11
G23
Document Type: 
Working Paper

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