Staying the Course: The Impact of Investment Style Consistency

In the first step, values for past fund performance (PALPHA) and fund expense ratio (EXPR) are estimated for each fund on a given date, starting in 1979, using the three-factor model in (2). Second, three different sets of forecasted (t=1, t=3, and t=3) returns (FALPHA) are calculated for each fund and then normalized by style tournament. ................
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