Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Holding Horizon: A New Measure of Active Investment Management
Chunhua Lan, Fabio Moneta, Russ Wermers ♦ This paper introduces a new holding horizon measure of active management and examines its relation to future risk-adjusted fund performance (alpha). Our measure reveals a wide cross-sectional dispersion in mutual fund investment horizons, and shows…