Holding Horizon : A New Measure of Active Investment Management

@inproceedings{Lan2018HoldingH,
  title={Holding Horizon : A New Measure of Active Investment Management},
  author={Chunhua Lan and Fabio Moneta and Russ Wermers},
  year={2018}
}
This paper proposes new holding horizon (HH) measures of active management, and examines the relation between horizon and manager skill. Our HH measures identify, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a particular fund is likely to exhibit a higher alpha in the short run. The superior long-term performance of long-horizon funds is due to their selection of stocks with strong long-run firm fundamentals… CONTINUE READING

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