Rethinking Performance Evaluation

Rethinking Performance Evaluation

Campbell R. Harvey

Duke UniversityFuqua School of Business; National Bureau of Economic Research (NBER); Duke Innovation & Entrepreneurship Initiative

Yan Liu

Texas A&M University, Department of Finance

November 26, 2015

Abstract:

We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework...

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