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dc.contributor.advisorAndrew W. Lo.en_US
dc.contributor.authorTaylor, Jonathan David, 1969-en_US
dc.contributor.otherMassachusetts Institute of Technology. Operations Research Center.en_US
dc.date.accessioned2005-09-27T20:10:21Z
dc.date.available2005-09-27T20:10:21Z
dc.date.copyright2000en_US
dc.date.issued2000en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/9043
dc.descriptionThesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2000.en_US
dc.descriptionIncludes bibliographical references (leaves 95-102).en_US
dc.description.abstractSurvivorship bias influences statistical inference in Finance. Through a series of Monte Carlo simulations in the style of Brown, Goetzmann, Ibbotson, and Ross {1992), we study the sampling distribution of the mean return, standard deviation, beta, Fama & MacBeth {1973) t-statistic, and Jegadeesh & Titman (1993) momentum strategy return in progressively truncated datasets. Survivor-biased datasets have higher mean returns, lower return standard deviations and lower betas than the full sample. Beta has no explanatory power even when the CAPM is true, a finding virtually unaffected by survivorship bias. Returns to a momentum strategy are positive even when stock idiosyncratic returns are serially and cross-sectionally uncorrelated, but survivorship bias overestimates the returns and underestimates the beta of the strategy.en_US
dc.description.statementofresponsibilityby Jonathan David Taylor.en_US
dc.format.extent102 leavesen_US
dc.format.extent8194842 bytes
dc.format.extent8194602 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsM.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582
dc.subjectOperations Research Center.en_US
dc.titleEssays on the emiprical properties of stock and mutual fund returnsen_US
dc.typeThesisen_US
dc.description.degreePh.D.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Operations Research Center.en_US
dc.identifier.oclc47934705en_US


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