2026-09-18T21:20:44Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/90432022-01-13T07:54:48Zcom_1721.1_7582com_1721.1_7581col_1721.1_131022
Andrew W. Lo.
Taylor, Jonathan David, 1969-
Massachusetts Institute of Technology. Operations Research Center.
Massachusetts Institute of Technology. Operations Research Center
Sloan School of Management
2005-09-27T20:10:21Z
2005-09-27T20:10:21Z
2000
2000
http://hdl.handle.net/1721.1/9043
47934705
Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2000.
Includes bibliographical references (leaves 95-102).
Survivorship 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.
by Jonathan David Taylor.
Ph.D.
102 leaves
8194842 bytes
8194602 bytes
application/pdf
application/pdf
eng
Massachusetts Institute of Technology
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http://dspace.mit.edu/handle/1721.1/7582
Operations Research Center.
Essays on the emiprical properties of stock and mutual fund returns
Thesis
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<Abstract>Survivorship 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.</Abstract>
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