haku: @author Jaffe, J. F. / yhteensä: 4
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| Tekijä: | Jaffe, J. F. Mahoney, J. M. |
| Otsikko: | The performance of investment newsletters |
| Lehti: | Journal of Financial Economics
1999 : AUG, VOL. 53:2, p. 289-307 |
| Asiasana: | Stock markets Performance appraisal Investments Models USA |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the recommendations of common stocks made by the investment newsletters followed by the Hulbert Financial Digest are analyzed. It is concluded that, taken as a whole, the securities that newsletters recommended do not outperform appropriate benchmarks. The data provide modest evidence that the future performance of a newsletter is related to its past performance when performance is measured by raw returns. Evidence of persistence vanishes, however, when performance is measured by abnormal returns. Little, if any, evidence is found of herding, i.e, cross-sectional dependence of recommendations, across newsletters. Finally, newsletters with poor performance are more likely to go out of business. |
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