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|Title: ||Survivorship Bias and Mutual Fund Performance|
|Authors: ||Elton, Edwin J.|
Gruber, Martin J.
Blake, Christopher R.
|Issue Date: ||Mar-1995 |
|Series/Report no.: ||FIN-94-027|
|Abstract: ||Mutual fund attrition can create problems for a researcher, because
funds that disappear tend to do so due to poor performance. In this
paper we estimate the size of the bias by tracking all funds that
existed at the end of 1976. When a fund merges we calculate the return,
taking into account the merger terms. This allows a precise estimate of
survivorship bias. In addition, we examine characteristics of both
mutual funds that merge and their partner funds. Estimates of
survivorship bias over different horizons and using different models to
evaluate performance are provided.|
|Appears in Collections:||Finance Working Papers|
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