...Hendrik Bessembinder; Michael J. Cooper; Feng Zhang Alpha depends on the return measurement horizon, particularly as the horizon becomes long. We introduce a procedure to estimate long-horizon alphas from short-horizon returns. Among those sample mutual funds with positive alphas estimated from...

... their analysis during their period of study, I find results similar to theirs. However, if I perform an identical analysis over the period 2003 to 2017, I find no evidence of stock selection ability in excess of costs. Furthermore, the combined 1975 to 2017 period indicates that the alphas of the best funds...