The insights of descriptive decision theorists and psychologists, we believe, have much to contribute to our understanding of financial market macrophenomena. We propose an analytic agenda that distinguishes those individual idiosyncrasies that prove consequential at the macro-level from those...

The net returns of no-load mutual growth funds exhibit a hot-hands phenomenon during 1974-87. When performance is measured by Jensen's alpha, mutual funds that perform well in a one year evaluation period continue to generate superior performance in the following year. Underperformers also...

Survivorship in a panel sample may depend on performance. The lack of randomness introduced challenges unbiased robust inference. If variance of performance over time is heterogeneous, spurious performance persistence may be observed in samples of survivors (Brown, Goetzmann, Ibbotson and Ross,...