TY  - JOUR
AU  - Christopherson,Jon A.
AU  - Ferson,Wayne E.
AU  - Glassman,Debra A.
TI  - Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5830
PY  - 1996
Y2  - November 1996
UR  - http://www.nber.org/papers/w5830
L1  - http://www.nber.org/papers/w5830.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu
AB  - This paper evaluates persistence in the performance of institutional equity managers.  We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures.  We find evidence that the investment performance of pension fund managers persists over time.  A conditional approach is able to better detect this persistence and to predict the future performance of the funds than are traditional methods.  The performance persistence is especially concentrated in the managers with negative prior-period conditional alphas. "
ER  -