Abstract

http://ssrn.com/abstract=226352
 
 

Citations (35)



 


 



Performance Evaluation with Transactions Data: the Stock Selection of Investment Newsletters


Andrew Metrick


Yale School of Management; National Bureau of Economic Research (NBER)

July 1998

NBER Working Paper No. w6648

Abstract:     
This paper analyzes the equity-portfolio recommendations made by investment newsletters. The dataset spans 17 years, is free of survivor and back-fill biases, and includes the complete recommendations for 153 different newsletters. Overall, there is no significant evidence of superior stock-picking ability for this sample of newsletters. Some individual letters do have superior performance records, but this does not occur more often than would be expected by chance, and these records are never more extreme than would be expected for the sample size. In addition, a strategy of buying past winners does not earn positive abnormal returns. The comprehensive and bias-free transactions database also allows for insights into several popular models of performance evaluation. The transactions-based approach of Daniel, Grinblatt, Titman and Wermers (1997) yields a median improvement in precision of 10 percent over the 4-factor model of Carhart (1997a), with the former approach providing more precise estimates of abnormal performance for more than 80 percent of the newsletters. This compares with a median improvement of less than 1 percent for the 4-factor model over the CAPM.

Number of Pages in PDF File: 52

working papers series





Download This Paper

Date posted: July 19, 2000  

Suggested Citation

Metrick, Andrew, Performance Evaluation with Transactions Data: the Stock Selection of Investment Newsletters (July 1998). NBER Working Paper No. w6648. Available at SSRN: http://ssrn.com/abstract=226352

Contact Information

Andrew Metrick (Contact Author)
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
(203)-432-3069 (Phone)
HOME PAGE: http://mba.yale.edu/faculty/profiles/metrick.shtml

National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,520
Downloads: 50
Citations:  35

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.329 seconds