IDEAS home Printed from https://ideas.repec.org/a/wsi/qjfxxx/v01y2011i03ns2010139211000158.html
   My bibliography  Save this article

Inference about Survivors

Author

Listed:
  • Robert F. Stambaugh

    (Finance Department, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104-6367, USA;
    National Bureau of Economic Research, USA)

Abstract

This study explores inference about assets that have survived by avoiding poor performance. The greater is the commonality across assets in prior uncertainty about parameters, the more an asset's inferred expected return should depend on its having survived. If there is no commonality, then a surviving asset's average return can possess substantial sampling bias while nevertheless equaling the appropriate conditional expected return. Survival bias as typically computed generally makes too severe an adjustment to survivors, unless one assumes that expected returns on all assets, dead or alive, are equal to one common value that is completely unknown before observing returns data.

Suggested Citation

  • Robert F. Stambaugh, 2011. "Inference about Survivors," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 423-464.
    • Handle: RePEc:wsi:qjfxxx:v:01:y:2011:i:03:n:s2010139211000158
    DOI: 10.1142/S2010139211000158
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2010139211000158
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2010139211000158?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Survival bias; survival effects;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:qjfxxx:v:01:y:2011:i:03:n:s2010139211000158. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/qjf/qjf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.