We develop a new methodology that allows conditional performance to be a function of information available at the start of the performance period but does not make assumptions about the behavior of the conditional betas. We use econometric techniques developed by Lynch and Wachter (2011) that...

We develop a new methodology that allows conditional performance to be a function of information available at the start of the performance period but does not make assumptions about the behavior of the conditional betas. We use econometric techniques developed by Lynch and Wachter (2011) that...

Because a money manager learns more about her skill from her management experience than outsiders can learn from her realized returns, she expects inefficiency in future contracts that condition exclusively on realized returns.(...)

This paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns.(...)

This paper offers a comprehensive study of survivorship issues, in the context of mutual fund research, using the mutual fund data set of Carhart (1997). We find that funds in our sample disappear primarily because of multi-year poor performance.(...)