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Preview: Review of Financial Studies - Advance Access

The Review of Financial Studies Advance Access

Published: Fri, 17 Nov 2017 00:00:00 GMT

Last Build Date: Fri, 17 Nov 2017 04:54:43 GMT




The original, online publication of 10.1093/rfs/hhx105, “Are Mutual Fund Managers Paid for Investment Skill?” by Markus Ibert, Ron Kaniel, Stijn Van Nieuwerburgh, and Roine Vestman did not include the code replication files as supplementary files. The following line has been added to the published paper: “Authors have furnished supplementary code, which is available on the Oxford University Press Web site next to the link to the final published paper online.” The supplementary files are now posted on the OUP web site with the published paper.

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?


We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets. For individual stocks, the difference between the performances of TS and CS strategies is largely due to this time-varying net long investment. With multiple international asset classes with heterogeneous return distributions, scaled CS strategies significantly outperform similarly scaled TS strategies.