@techreport{NBERw3389,
 title = "Hot Hands in Mutual Funds:  The Persistence of Performance, 1974-87",
 author = "Darryll Hendricks and Jayendu Patel and Richard Zeckhauser",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "3389",
 year = "1990",
 month = "June",
 URL = "http://www.nber.org/papers/w3389",
 abstract = {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 display short-run persistence. Hot hands persists in 1988 and 1989. 
The success of the hot hands strategy does not derive from selecting superior funds over the sample period. The timing component -- knowing when to pick which fund -- is significant. These results are robust to alternative equity portfolio benchmarks, such as those that account for firm-size effects and mean reversion in returns. Capitilizing on the hot hands phenomenon, an investor could have generated a significant, risk-adjusted excess return of 10% per year.},
}